The old MediaWiki session logic only loaded the session when $wgUser was unstubbed, which could cause problems due to hook calls executing unexpectedly early or late. SessionManager moved session initialization into Setup.php; this means that the session is set up even if $wgUser is never needed. While setting up the session is relatively cheap, there is no reason not to skip it in the cases where we know by the time of calling Setup.php (ie. from the choice of endpoint) that authentication won't be needed.
Endpoints that look like they should not need sessions are: load.php, static.php, opensearch_desc.php, profileinfo.php. Probably also thumb.php which does per-user limiting of thumbnailing attempts, but doing that on a per-IP instead of per-username basis does not seem like much of a loss, and for most MediaWiki installations that's what's happening anyway since thumbnails are served from a different domain.
MW_NO_SESSION has not been used before in web requests, so such a change might trigger new bugs and should be tested cautiously.