Session:
This means your IP will be shared with your call partner as well as an OPTF operated STUN/TURN server. Although this is acceptable for most people, you should always make sure to assess your own personal situation to determine whether the risk of exposing your IP is worth it. If you’re in an extremely high-risk situation, we do not recommend enabling peer-to-peer calls — onion-routed calls are on the way.
Note: It is disabled by default, so the recommendation is to not enable it unless you are behind a proxy (VPN/Tor).
Signal:
By default, Signal will only attempt to establish a P2P [peer-to-peer] connection if you are initiating the call or if you are receiving a call from someone in your contacts. If you are receiving a call from someone not in your address book, Signal will relay that call through the Signal service.
If you want to completely eliminate the risk of exposing your IP address on Signal, tap on your avatar on the top left, tap on Settings, then Privacy, scroll all the way down to Advanced, and turn on the “Always Relay Calls” option. From techcrunch.