Like all apps on the Mac App Store, Sessions Pro is 'sandboxed'. This is a macOS security feature that is designed to prevent apps from accessing locations and data outside the scope of that app.
Most third-party Audio Unit plug-ins sold outside the Mac App Store are not classed as 'sandbox safe'. This means they have much wider access to the filesystem compared to a sandboxed app and typically load resources they have stored in various locations during installation.
When a sandboxed host like Sessions Pro tries to load a non-sandbox safe plug-in, macOS asks to lower the security settings for that host:
Pressing 'Lower Security Settings' opens a door in the sandbox so Sessions Pro can load the plug-in and its resources that are outside the locations the sandbox would normally allow Sessions Pro to access. This change in security settings is remember by macOS so you should not be prompted to do this when loading non-sandbox safe plugins in the future.
Pressing 'Cancel' will stop the load of that Audio Unit and the security settings for Sessions Pro will not be changed. You will be prompted the next time you attempt to load a non-sandbox safe plug-in.
Lowering the security settings only impacts Sessions Pro and does not lower any system level security features.
It is worth noting that macOS shows the same message when trying to load non-sandbox safe Audio Units in other sandboxed hosts including Apple's own GarageBand app: