So, i have seen many video tutorials how to integrate drivers etc etc with nLite but in all these videos nobody put a "check" in the box of Load "Last Session" on startup option.They integrate the things they want,they finish,then they re-open nLite and keep integrate things they want,so i guess their settings are saved without checking the Load Last Session option.

So,my question is what does it use for when your settings are saved without this option checked?

It doesn't; if the box is not ticked you have to select it and import it manually.

So, integrating/removing/etc things without this box checked, saves the settings i do, so no need to have it checked, right?

It will save the settings in your Last Session.ini, but it will not import them automatically in nLite for next time.