I will delete the default session whenever I see it in the View Session list. To me, its presence indicates that I have forgotten to save the session with its own distinctive name.
A default session is created whenever you save a route AND session without first giving the session its own distinctive name.
If you delete any session, default or not, you will delete any industry settings, environmental settings (most of them), junction switch directions, consist loads, rules and driver commands you may have added to what you thought was the route. In reality, all those items and others are stored in the session. If, after deleting it, you then save the route AND session then another default session will be created but all the settings in the deleted session will be gone.
Sessions are needed to drive trains. You cannot drive a train without having a session, regardless of what you call it.