Myhill believes Sunderland must be ruing their decision to allow Sessegnon to leave them and join Albion.
"I'm sure Sunderland would love to give us the money back," said the Wales international.
"Their loss is our gain in that respect. We're certainly very pleased to have him here.
"He's been a stand-out performer since he's been here. He's the kind of player you give the ball to when you need a breather. You know he can do something special."
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