Sorry I guess ImgBurn is not capable to burn multi session data DVD.
I tried "Incremental" mode and it does the same, closing disc at the end.
I use Nero for data burning and that one is fine. It does allow to add files later on same disc, but if you burn later files, the option to not close the session is grayed out, which make me to be suspicious as what Nero does during formatting. If it format disc for "packet write", you may not be able to read it on other machine or when you change software. I got burned like this once, so I stay away from that.
Only way to get files back, in that case, is to use ISOBuster (not free).