On the Check Point side of things, we correlate multiple logs into a single session that can be viewed in SmartView.
It makes logical sense that we would communicate this to an external SIEM, thus why we have separate loguid and session id fields.
It is up to the external SIEM to correctly process this information.
The only possible "bug" I see is in the details behind this statement: "We faced situation that loguid and session id same on Cp CLI but while ı check log that comes form Cp on splunk server with tcpdump loguid and session id are different."
How exactly did you attempt to verify this via the CLI and what version/JHF were these commands executed on?
Screenshots (with sensitive details redacted) of both CLI and SmartView output of the relevant logs might help.
However, I don't believe the above is really relevant to the issue you're experiencing.
From your description of the situation, Log Exporter is operating as expected.
More details would need to be provided to prove otherwise.