Hello,
sessions are similar to cookies, but the main difference is sessions are closed and removed from your web browser when you close it or visit another website. Sessions are only used to identify a visitor during a single visit.
When Cookies lifetime can be longer and Cookies are used to store data (for example what products you have added in your shopping cart) for a fixed time. Some cookies are removed when you close your web browser, and some other will be stored for a year.
But if you use analytics service like Google Analytics or other way to track your visitors with cookies, you have to keep the banner about accepting cookies on your website. There are only few tracking services which can track visitors without having to warn them about cookies usage. The only one I know if Matomo (Piwik)