Sessions contain a surprisingly wide variety of information, and not just data you have manually entered yourself. This ranges from simple things such as the direction that a switch lever is set (left or right) to more complex matters such as the default environmental conditions. Of course, data you have added yourself, such as commodities in industries and railcars, rules, driver commands, etc are also stored in sessions.
The default session is created whenever you create (or edit) a route that does not have a set named session - i.e. one that is automatically created when the option "Save Route and Session" is selected on a new route or "Overwrite existing session" on an edited route.
Deleting a Default session will not have any effect on your route as a new default session will automatically be created when you later save the route with the option "Overwrite existing session" selected. But of course, you will lose any session settings that were saved in the deleted default session.
I make it a point to manually name the session whenever I create a route where I know I will need to save those properties that are stored in the session. If I later see the name "Default" as a session saved under a route then I normally delete it. It is possible for a route to have multiple "Default" sessions as each one is saved with a unique kuid so it can get confusing as to which is the Default session you actually want - hence my practice of naming the session.