Technically, a league is a simple way to group players in your database. It makes it easy when you create your tournament to filter out the players you want to add to the tournament.
A season is really nothing but a "tag". It is simply a designator. It is useful for more easily creating a filter that will show stats for the specific sub-set of your tournaments.
Do you need to create a league for your players? If you host tournaments with more than one "set" of players, it might be useful to group your players into different leagues. It sure makes it easy each time you setup your tournament, you set the League (on the Game tab), and then on the Players tab you press "Add Players" and you'll only see players that are part of the league. Click the "check all" link and then press OK and everyone in the league is now added to your tournament. Very easy.
Do you need to create one or more seasons? If you ever intend to "reset" your stats, then a season makes it easy. "Reset" is probably not the best word to use, but you need to understand how the statistics are generated in order to make the right choices for leagues and seasons.
When you want the TD to generate statistics, it loads all of the saved tournaments it can find, and then tallies up the stats for the players in those tournaments. The stats generated are relative only to: (1) the players who played in those specific tournaments, and (2) *those specific tournaments*. This is key. If you have played 20 tournaments, and your filter only accepts 5 of those 20 tournaments, stats generated for each player will be relative only to those 5 tournaments. This is why seasons can be good. If you want to see stats for January through June, for example, and then "start over", or "reset" the stats so that everyone in your group of poker players (league) can get fresh start, then it would be a good idea to create two seasons, "1st half 06" and "2nd half 06". You could then create two filters, one that loaded only tournaments in the "1st half 06" season, and another that loaded only tournaments in the "2nd half 06" season. With a stats filter, you're telling the TD: "Compute statistics only for the tournaments that fit these criteria."
You can, at any time, load a saved tournament, make changes to it, then re-save the tournament. If, for example, you've run 3 tournaments and then decide that seasons would be a good thing, you can create your season in the database, then, in turn, load each of the 3 already saved tournaments, set their season, and re-save them. The next time you "Reload Tourneys" on the Stats tab, the TD will recognize your changes.
That's fairly rambling, but I hope it helps.