A session is a set of data of what a user did in your app during the session duration, including gestures, events, visited screens, etc. Each session will be uploaded as soon as the app goes to the background. All sessions are recorded by default because this information is really useful for creating funnels, heatmaps and user’s flows.
A video is the visual representation of the session, where you can see the screens and the behavior of the user on those screens. This would help you better understand why the user is behaving in a certain way or performing certain actions. It can happen that you find a Session without a Video, in such cases, you will see this symbol (...). This can happen if you've already exceeded your video limits, set up video conditional recording and this video didn't meet the selected criteria or the user didn't have a good enough Internet connection to upload a video.
The combination of both will provide you with valuable insights to help you achieve your goals.