If any one memcache server is down, the XF's session causes a fatal error even though nothing is actually wrong on the backend end (again... the PHP extension handles failover of the memcache cluster internally).
It looks like the Zend_Session class already has the ability to not fail on a startup exception (more specifically in this case I believe it's a PHP notice that's being treated as a fatal exception). Info on the same issue here: http://framework.zend.com/issues/browse/ZF-6848
It looks like the two session start lines in XenForo_Session could be changed to this (since the start() method already allows passing in the throw_startup_exceptions option):
$session->start(array('throw_startup_exceptions' => E_ALL ^ E_NOTICE));