A refugium is a place, free of predation, where algae, pods
, and such can grow without interruption.
A sump is simply a container of water attached to your main tank. It's generally used to increase water volume, and hold components that you don't want cluttering up the main display.
You really don't need any media in the sump, but you can put whatever you like in it. If you are considering phosphate removal media or carbon, I would suggest a reactor for those. A reactor is a container, not unlike your canister filter, that forces water through media.
Sitting media in a bag in the sump is no where near as effective.
A sump is a great place for a protein skimmer!