Which lead's session should be considered as new?
If one closes the tab and returns before 40 minutes expires, then event "session started" won't be recorded. If a lead left your site and visited it after 40 minutes passed, he will be added a new "session started' event.
How to apply?
"Session started" event is often used in auto messages setting.
For example, you can show a pop-up with a suggestion to leave email when one enters your site.