As far as I know:
not all FMESessions that were created were destroyed
...is just a generic catch-all message when something has gone wrong. We can't be more specific because it's an area of code that unexpectedly errors. If it occurs you should certainly let us know via our support team (safe.com/support) as it is a bug that needs fixing.
In this scenario the translation may stop, or it may complete. I would be careful to check the output in that case, but I've no evidence to say it will/won't be compromised.
In any case, it's not specifically a memory error.
Basically if the workspace errors out with an FME engine crash, or it fails with an error in the log, then I would not expect the Python script to execute.
If the workspace runs to completion, even if there is a message like that in the log, I would expect the Python script will execute.
Of course, I now stand to be corrected if you find an example that goes against this behaviour!
Mark