What exactly does the "sessionmanagement" dispatcher setting do?

While following the documentation about "Creating and Applying a Closed User Group", at the bottom of the page it says that you have to use the "sessionmanagement" dispatcher configuration to get it to work.

Because it prevents the dispatcher from caching (everything in this farm) I don't really want to use it, so I'm trying to find information about what it actually does. The documentation about "Configuring Dispatcher" says that it is used for the "support for session management and authentication". But that doesn't make any sense to me - the publish instance is taking care of session management and authentication. On top of that, if I just leave out that configuration and only set allowAuthorized to "0" the dispatcher does exactly what I want: caching everything for unauthenticated access and caching nothing for logged-in users.

So the question is: What exactly does the "sessionmanagement" dispatcher setting do and what could happen if I just leave it out?