You can only run one simulation session at the time. If you run multiple, you will get this warning to close the active session.
This session manager indicate that there are no other Simulator sessions being run, so you are green-lighted to launch a new session.
On the opposite side if you have already previously opened a simulation session, you will get the name of the model within the session manager. This will warn you that if you proceed, your Brain simulation session will be shut down, so that you can open the new simulation session with a different model.