In addition to the ZEMAX Lens Files (.ZMX), the configuration (.CFG) and session (.SES) files have unique purposes.  In summary, the session file contains information about the window arrangement in a lens file, and is restored upon subsequent openings of the lens file.  The configuration file on the other hand, contains the saved setting information for analysis windows, and serves various purposes in determining the default settings for an analysis feature or window.

References

ZEMAX Optical Design Program User’s Guide, ZEMAX Development Corporation