There is no difference between a "Lesson" and an "Event". When you click the "+ New" button on the Calendar page, you're presented with two options: "New Default Lesson" and "New Event".

The "New Default Lesson" option is simply a shortcut to create a new event that uses "Lesson" as the event category with the athlete's default lesson duration and default price. The "New Default Lesson" shortcut also assumes that you want to setup a private lesson with one athlete.

For group lessons, or to schedule a lesson that's not the athlete's usual length (or price), you'll want to use the "New Event" option.