The Shipping Session tab contains all shipments to which items are being added. When adding items to shipments they will either be included in the same shipment or they will be split between several new shipments, depending on where Amazon wants you to send the items. All newly created shipments will show up in this tab beside the All Working & Local one.
You can add shipments from the All Working & Local tab to the shipping session using the 'Include selected shipments in to the shipping session' button:
And you can also remove them from the shipping session using the 'Remove shipments from the shipping session' button:
This way you can gain control over which shipments you are adding items.