PHP and jQuery AJAX $_SESSION Bug

I spent many days to fix this problem and i can't find a solution. After i login using my ajax form + php backend, the page where user is redirected show the "Missing session" message and if i try dumping $_SESSION it looks like empty. Then, if i go back and i do the same login it will work correctly. This happen in different browser (usually when they have cookie and cache clear) and in different hosting providers.

This is my ajax code:

$(document).ready(function(){
 $('#loginbtn').click(function(){

if($('#username').val() == "" || $('#password').val() == ""){
            return false;   
        }
        else
        {

            $.ajax
            ({
                type: 'POST',
                url: 'ajax_login.php',
                cache: false,
                dataType: 'json',
                data:
                {
                    username: $('#username').val(),
                    password: $('#password').val()
                },
                success:function(data)
                {


                if(data.error === true){

alert("Failed to login: "+data.message)

                    }
                    else
                    {


        setTimeout(function() 
        { 
window.location = 'http://www.mywebsite.com/dashboard.php';
        },2000);  

                    }
                },
                error:function(XMLHttpRequest,textStatus,errorThrown){
            alert("An error occured!");

                }
            });
            return false;
        }

   });    

   });

This is the PHP Login Backend:

<?php
include "config.php"; // start session and connect to mysql db, also contain functions sanitize(), getip()

$username = sanitize(htmlspecialchars($_POST['username'],ENT_QUOTES));
$pass = sanitize($_POST['password']);


 // FUNCTION TO LOGIN
$sql = mysql_query("SELECT * FROM members WHERE username = '$username' AND password = '$pass'"); 
$array = mysql_fetch_array($sql);

if(mysql_num_rows($sql) === 0){
$message['error'] = true;
$message['message'] = "Wrong username or password.";    
echo json_encode($message); 
exit;
}


$_SESSION['username'] = ucwords(strtolower($username)); 
$_SESSION['points'] = $array['points'];
$_SESSION['ip'] = getip(); 
$_SESSION['welcome'] = true;


$message['error'] = false;
$message['message'] = "Completato.";    

echo json_encode($message); 
exit;

And finally this is dashboard.php check session code:

<?php

include "config.php";
if (substr_count($_SERVER['HTTP_ACCEPT_ENCODING'], 'gzip')) ob_start("ob_gzhandler"); else ob_start(); 

if($_SESSION['username'] == "") {
header("Location: index.php?nosession");
exit;
}

Edit: This is what's inside config.php

<?
session_start();
date_default_timezone_set("Europe/Rome");
$hostname = ""; //hostname 
$data_username = "dbxxxxxxxx"; //database username
$data_password = "xxxxx"; //database password
$data_basename = "dbxxxxxxx"; //database name
$conn = mysql_connect("".$hostname."","".$data_username."","".$data_password."");  
mysql_select_db("".$data_basename."") or die(mysql_error()); 

function sanitize($text) { // funzione che pulisce le stringe per prevenire exploit;
if(get_magic_quotes_gpc() == 0) {
$text = addslashes($text);
}
$text = htmlentities($text);
$text = strip_tags($text);
$escape = mysql_real_escape_string($text);
$arraydangerous = array('SELECT *', 'LOAD_FILE', 'DELETE', 'TRUNCATE', '\' OR', '<javascript>', 'src=', '<?', '?>', 'document.cookie', 'http://', 'www.'); 
$text = str_replace($arraydangerous, "", $text);
return $text;
}

function getip()
{
    return filtra($_SERVER['HTTP_CF_CONNECTING_IP']);   // I use CloudFlare ,so i must use this way :)
}

How can i fix this? Thanks