Because people called researchers have studied this, and talked to children and the adults that look after them, after the sessions have finished. What these researchers found out was that the thinking goes in being helpful, even after the sessions have stopped.
You still have the memory of your therapy and your therapist inside your mind. Even if you might forget a lot of it, you will remember quite a lot too.
It doesn’t go away.
You may even ask for a ‘top-up’ later.