From the "Set Statement" in Excel Visual Basic Help:

"New is usually used during declaration to enable implicit object
creation. When New is used with Set, it creates a new instance of the
class. If objectvar contained a reference to an object, that reference
is released when the new one is assigned."

What you are doing is allocating a memory block to contain the object
"Class1", then causing (setting) the variable "Class1Var" to point to
that oject. Since the memory block that "Class1Var" previously pointed
to is now no longer being pointed to by anything, the memory allocation
routine in VB will delete (deallocate) it. This is pointless and only
causes your routine to run slower. It may even crash eventually,
depending on how robust the memory allocation process works.

If you don't store a reference to each class instance in an object like a
Collection or Dictionary, VBA will create and destroy the classes as the
variable is reused. For example, put the following in Class1:

Public Num As Long
Private Sub Class_Initialize()
   Debug.Print "init: " & CStr(ObjPtr(Me))
End Sub

Private Sub Class_Terminate()
Debug.Print "term: " & CStr(ObjPtr(Me)) & " Num: " & CStr(Num)
End Sub

Then in Module1, use

Sub AAA()
   Dim C As Class1
   Dim N As Long

   For N = 1 To 5
       Set C = New Class1
       C.Num = N
   Next N
End Sub

You'll see that the classes are destroyed as C is reused. You can also force
the destruction of the classes with:

Sub BBB()
   Dim C As Class1
   Dim N As Long

   For N = 1 To 5
       Set C = New Class1
       C.Num = N
       Set C = Nothing
   Next N
End Sub

However, if you store a reference in a Collection, the class instances are
not reused and are not destroyed until the Collection is destroyed:

Dim Coll As New Collection

Sub BBB()
   Dim C As Class1
   Dim N As Long

   For N = 1 To 5
       Set C = New Class1
       C.Num = N
       Coll.Add C
   Next N
   Set Coll = Nothing
End Sub