For the list: Lawrence and I have followed this through a bit more. The solution, for those that have a newer version of gnuplot-mode (2017 version instead of the 2014 version), is to set :session to "none".
I would suggest that there is a bug in ob-gnuplot.el. Specifically, :session is initialized to nil but all the code that checks for session assumes that it has to be set to "none" to not use a session. What hasn't been resolved is how to get sessions to work with the more up-to-date gnuplot-mode. -- Eric S Fraga via Emacs 27.0.50, Org release_9.2.3-327-g3375f0
