By default, session is tracking the changes. This means that for each document retrieved, session will start tracking it's changes allowing you to make the modifications and save the entities using the SaveChanges method.
Sometimes it might be considered an unnecessary overhead (e.g. when session does not plan to make any changes, just retrieve the documents). This is why tracking can be turned off using SessionOptions.NoTracking property. When turned off, the Store and SaveChanges operations will no longer be available (exception will be throw when used) and each call to methods such as Load will create a new instance of a class that is being returned.