AJAX calls back to your application are just the same as hitting the site with the browser so yes these events will be fired.
The article you link to concerns the scenario where you have more than one request made within the same session.
http://msdn.microsoft.com/en-us/library/ms178581.aspx
Access to ASP.NET session state is
exclusive per session, which means
that if two different users make
concurrent requests, access to each
separate session is granted
concurrently. However, if two
concurrent requests are made for the
same session (by using the same
SessionID value), the first request
gets exclusive access to the session
information. The second request
executes only after the first request
is finished.
So if you made two requests back to your application from ajax code running in the browser they would be executed one after the other, not in parallel.
There is no way to turn this feature off.
In ASP.NET MVC3 it is possible to create sessionless controllers that do permit multiple ajax requests in the same session to be serviced at the same time by decorating the controller with this attribute:
[SessionState(SessionStateBehavior.Disabled)]