Trying to delete a session without deleting the videos within it. Doesn't seem to do anything.
Is there anything different about the clips you want to keep, or is it just specific ones you like?
If the box is unchecked, then it should delete the sessions without touching the videos that have been uploaded.
However, for safety, you could also move them out manually and put them into another folder for safe-keeping.
Did you check the box that states "Delete all videos associated with this session?"