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 Lesson” and “New Event“.
The “New Lesson” option is just a shortcut to create a new event that uses “Lesson” as the event category with the student’s default lesson duration and default price. The “New Lesson” shortcut also assumes that you want to setup a private lesson with one student.
For group lessons, or to schedule a lesson that’s not the student’s usual length (or price), you’ll want to use the “New Event” option.