Sessions save you from having to create a new class schedule for each session.
This can be very helpful if you want to start enrolling students into future sessions with the current session in progress. It also allows you to quickly view the enrolled students for past, current, or future sessions by using the filters on the class page.
To create or edit sessions, go to Settings > Setup > Class Settings>Sessions
It is advised that you create all of your current and future sessions before setting up classes so that you can attach your sessions to classes as they are created. You can attach as many sessions as needed to a class, so there is no need to create the same class for each session.
You can easily toggle back and forth between seasons on the class list page to see who is enrolled for the sessions you select.
Note: You should only use sessions if you want to create a drop date for the student at the end of each session. If you assume students are coming back after each session, Sessions are not the best option for you. Instead, you should use Rolling Sessions (if you want to set a start date for enrollment and have your billing period outside of the usual calendar month) or set classes to "This Class Bills Monthly" (if you bill based on the calendar month).