Session management is a way to restore your GIMP session that was running before you quit the GIMP. I.e. simply quit GIMP and start GIMP again. GIMP will now along with the Window Manager try to restore the GIMP session you that was running before you left GIMP. You can disable/enable this feature with the "Always Try to Restore Session" check button.
GIMP can save it's window positions i.e where e.g the Gradient Selection dialog is displayed on your display. If you use the "Save Window Position on Exit" option then GIMP will save the position of e.g. the Brush Selection dialog (if it is opened). It can be useful to arrange your Gimp desktop with this option enabled and then restart GIMP and disable the option. You will there by have a consistent desktop each time you start Gimp.
If you have a graphics tablet and use it with The GIMP you will have several devices that you can preconfigure in the Device Status dialog. However if you use the "Save Device Status on Exit" option then the preconfiguration will be overwritten and the last state before exit will be the new configuration.