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