A session is the period of time you spend using GNOME. During a session, you use your applications, print, browse the web, and so on.
Logging in to GNOME begins your session. The login screen is your gateway to the GNOME Desktop: it is where you enter your username and password and select options such as the language you want GNOME to use for your session.
Normally, logging out ends the session, but you can choose to save the state of your session and restore it next time you use GNOME: see Section 8.5.2 ― Sessions Preferences.