Do I have to delete all my sessions if one child leaves or is there a way to remove one kid from my group session?

No, you will not need to delete the whole series. You will need to click on the 'Edit Session Series' icon on the top right of your workspace. This icon only appears if the session is part of a recurring session series. Select this icon and then remove the students from the list and select save. This will remove the student from the series without actually deleting the sessions.