A "session" in KDE is taken to mean a particular configuration of screens, desktops, windows and programs running within them.
Typically, I set up KDE so that "On login" it "Restores a manually saved session". This setting is available from "Configure desktop" (watch out - this is something entirely different from "Desktop settings" or "Default desktop settings").
In "Configure desktop", click on "Startup and Shutdown" and then on the left side click on "Session Management". There, you will see the setting "Restore manually saved session". This is what you want if you want KDE to start with the same session every time.
Now, to manually save your session, just set up all your screens, desktops, windows, and running programs the way you want them, then go to "Leave" (like you want to turn off the computer), and then click on "Save Session". Voila!