Conserve mode was implemented to prevent a complete overrun of memory in the FortiGate unit to prevent it from freezing up. The proxies tended to use a lot of memory when buffering web pages, emails etc and holding them in memory during the scanning process. This occasionally lead to high memory usage when there were either many large files being processed simultaneously or many users downloading data.
There was originally a high and low watermark for the conserve mode. The low would enter conserve mode and prevent further new connections. The high watermark would become more aggressive and kill some of the largest memory hogging sessions.
There is a more recent KB article that you may find helpful : http://kb.fortinet.com/kb/microsites/search.do?md=displayKC&docType=kc&externalId=FD33103
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