As I read your question I told myself that this is a very easy question, but then I was scratching my head. I tried to figure out an example that you can just accomplish with session or collections. But I didn't found any use-case. So let's rollup things from begin. Basically you already answered the question on your own, because it is the little sugar that makes collections something special.
When to use a collection?
Basically a collection is a database artifact. Imagine you have a client-server-application. All the data is persisted in the server side storage. Now you can use a local collection to provide the user a small subset of the servers collection. So a client collection is a database with reduced amount of data. The advantage is that you can access the collection with queries. You can use the same queries on server and client. In additon a collection always contains multiple objects of the same type. Sometimes you produce data on client for the client. No server interaction needed. Than you can use a local collection. A local collection provides the same functionality as a normal collection without server communication. This should be used if you have multiple objects with the same structure and in special if you'd like to use query operators.
You can also save the data inside a session object. Session objects can contain multiple objects as well. But imaging you want to find an object in an objectarray indexed with a special id. Than you need to iterate throw the whole array in order to find this object. You have to write additional logic, that can be handled with collection like magic. Further, collections return cursors. A cursor is an reactive object that just changes if the selected data changes. That means if you use find with an id. Than this object just rerenders when the object to this id changes. With session you can't. When a session changes you need to rerender all depending objects.
When to use a session?
For everything else. Sessions are often just small objects that contain some configuration logic. It is basically just one object and not a multiple occurency of equal objects. Haven't time now to go in detail but if it does not fit the collection use-cases you can use sessions.
Have a look at this post that describes why sessions should not be overused.