The Session Only option can be used in numerous ways.

If you just want to clean out messages from certain users in a chat room for your current chat session (your current visit to the site) you can add users to your list and ignore their messages. Next time you log on they will not be on your list. Handy if you don't want to permanently ignore those users and just want to ignore them for the current chat session.

You can also use this to temporarily add users to your Buddy List. Perhaps you have the "Only Receive Private Messages from my Buddies" option turned on in the chat rooms and you want to quickly add somebody so they can send you Private Messages but you don't want to have them permanently on your list.