A session cannot be deleted if 1) it's in use within an enrollment bundle on Step 9 and/or 2) a staff applicant has been hired for it. To see exactly how the session is in use, hover your mouse over the grey delete button and read the tooltip details that appear.
If you're attempting to delete the session to remove it from the enrollment form, note that sessions are removed from the enrollment form by archiving or deleting the associated enrollment bundle or option on Step 9.
As long as the session isn't built into an active bundle or option, parents will not see the session even though it's visible to admin users on Step 2.