Although it would be great to multi-task sleep with hypnosis, I'm afraid you need to be awake when listening to Mindset's hypnosis sessions. You may see some of the effects if you're asleep but because the brain cannot process verbal suggestions while asleep, you'll miss out on most of the benefits.
You may not actually be falling asleep however, hypnosis can often feel dream-like with fading in and out - so if you're 'waking up' at the end of the session, don't assume you were asleep.
If you're listening to a sleep session then of course it's okay to fall asleep because that's what they were designed to do.
If you fall asleep every time you listen then that's most likely a sign that you are short of sleep and need to sleep more.
One tip to stay awake is to sit upright on a less comfortable chair, or listen at a time of day when you're not naturally sleepy. But if you're sleep deprived, then your body will trend towards sleep when you close your eyes.