Hi Nicolas,
an application has always "main" session. And then one session per processing group.
In your scenario, you should see 1 session for the app, and 2 more sessions (as you have 3 DS / processing group -> 2 groups).
Of course, you see also the sessions from the designer. If you start the designer, there are also open session for this application in "design mode". This is probably why you see more than those 3.
Check your sessions in SM05, open new application in a browser and check then the difference.
Btw, as the main session is unused, it makes sense to put some data sources also into the main session (simply not assigning any processing group to eg. 2 data sources)
Karol