You use a walk-in for open facilities (such as open gym) or for classes you don't need to book in advance. You scan the QR code on site (often at the front desk) and the location lets you in. You don't need to check in through the app for a walk-in.
In short: with a booking you reserve a class in advance in the app and check in on location via Bookings; with a walk-in you scan the QR code on site and can start straight away. The app shows for each location whether it uses bookings or walk-ins.