Step 1: Select the option

Go to Settings -> Personalization -> Select Don't show sessions that the member doesn't have access to with tags -> Save modifications at the bottom of the page

Step 2: Tag the session

Create a session -> Click on Advanced -> Add tag

Thus, only people who own the selected tag will be able to see the session on the calendar.

If you want to know more about tags, here is an article that explains how to create a tag: https://intercom.help/bsport-helpcenter/en/articles/4418564-exclude-a-customer-from-a-smartlist-using-tags.