No, you shouldn't be concerned. This has been a problem in the past, and deals with how we log the user in and out. Basically, since you're using a 3rd party for authentication, and especially when "Automatically log Facebook Users In" is enabled, JFBConnect will authenticate the user periodically to keep them correctly logged into Joomla and this can create extra sessions which show up in the admin area.
At one point, it was much worse.. and we plan to re-investigate in the future different ways to cut the user sessions down again, but in general, there's no security risk from it, and your users should never see or be affected by the problem. The biggest 'issue' that has ever been reported from this problem is that if you use a module that displays "12 users online", that number will be inflated.
Hope that helps explain. If you turn off "Automatically Log Facebook Users In", I believe it will fix the problem as well.
Alex