Hi, great questions!
Duplicating events is not something that is supported out of the box (but please do consider posting requests for any features you would like to see in the future) however you may be able to leverage another plugin for this – I believe there may be a few out there that can assist with post duplication and that also work with custom post types, such as events.
Also, I am offering an online course that spans over 4 weeks but are only 3 hour sessions. Should I create 1 event for the full offering and then 4 separate events for each time slot?
You certainly could do, or perhaps you could have two tickets per session (one acting as a session pass, the other entry to all sessions). Right now though recurring events are not supported and nor is a concept of pooled inventory – so if limiting the total number of attendees is a concern you may be hitting up against limitations of the plugin.
Does that help, or at least explain the current situation a little more?