IP session setup and tear down are expensive, hence the addition of items in HTTP 1.1 which leverage already open connections instead of establishing a new one to download additional items. You may need to take a look at the documentation from Web Stress Tester to see if this is what is being referenced. You might also way to take a look at the w3c documentation on HTTP 1.1 to familiarize yourself with the additions related to session management which come with the update.
In general, however, you would want to model your behavior as closely as possible to your actual end user behavior to make your test the best predictor possible of end user behavior in production. If you have an application which keeps sessions alive that you are modeling, then by all means enable the setting. If your application does not keep alive the current session then don't enable the option.