Well i’m concerned about this too and i found sth similar to what rsaz says, And below is my opinion.
In GameMode has a ‘AGameSession’ member, which represents a session in it. What rsaz says ‘a dedicated server already create a session for you’, that’s because the function ‘InitGame’ in ‘AGameModeBase’ defaultly create a session. So i guess you can override this function in your gamemode to do sth properly.
I think The GameSession member is for managing clients’ connection if you have only one dedicated server. When a client is asking for matching just let him login this default session. After that, your server waits for other matching requests until enough. Then open a new session for them and let them go into your MOBA game map. In AGameSession there’re several functions accepting SessionName as a parameter thru which i think can manage the session you created.
Am i right or totally wrong 
Or you can also maintain an array in your gamemode. When you create a session, add it into this array and you can manage multi rooms of game…