This feature is a Pro feature.
What is it for?
By default, a session is accessible to anyone as long as they have the full URL.
You can always rely on security through obscurity and make sure you are not sharing the URL to anyone outside of your team, but that's of course not ideal.
Private Sessions are then a way to lock a session to the users who already accessed it, preventing access to anyone else.
How does it work?
Start a session as usual, and once all the participants have joined, click on the "Make Private" button:
You will then see a list of all participants, and only these participants will be allowed access to the session in the future.