I don't suppose it is intrinsically a bad thing to talk to the Russian ambassador.
The problem is in the denials. Trump's team has said repeatedly there are no contacts between themselves and the Russians. http://www.usatoday.com/story/news/politics/2017/03/02/trump-teams-many-many-denials-contacts-russia/98625780/
Sessions took advantage of the blanket denial in a way that served his purpose in becoming AG (although his omission may of course have been for quite innocent reasons).
So every revealed contact makes the Trump team member seem guilty of a conspiracy - if only of silence. It may be that Sessions made a contextual mistake. But in the equally important context of the Russian subversion of the election, omitting information about meetings with the Russian ambassador has a poor appearance.
I am not sure that Trump is linked to the Russian government. But it is worth a proper investigation because there's a bad smell about him and his team. If there's nothing there, he should welcome the opportunity to demonstrate it.
Meanwhile the rage of the Russians is suggestive. We already know they subverted the US election and are trying the same thing in France and elsewhere. So the faux outrage impresses no one. Putin is at war with democracy.