So what happens at these sessions after the actuall Speech? Is there a debate? Does it have substance?

You have likened the Queen's speech to the US' "state of the Nation" address. That one (at least in recent years when I have paid attention) has mostly consisted of a patriotic speech by the President to standing ovations from the assembled Congress, and little actual debate.

In Spain we have a "State of the Nation Debate" (I think the official name is "Debate on general policy" [Debate de política general]) which consists of a speech by the PM followed by answers and counter-answers (two rounds) from each of the parliamentary groups in the parliament and from each of the individual MPs in the "mixed group", the whole thing taking two full days.

This Queen's speech seems to have less political substance than the average Spanish King's Christmas-eve TV address.

Those whom the Gods wish to destroy They first make mad. -- Euripides