Depends on the intended audience.
For the more accessible games intended for 3+ in person playing(IE: 1941/1942SE), I would say late 1941 (not spring 41) would be the best time to start, for two reasons.
-The Japanese blitz/pearl harbor is a pretty dramatic start, and not having Japan start with a bunch of conquests paces their advance better.
-Russian winter counter offensive: Assuming it’s a multiplayer game, and someone is playing Russia alone, it’s more fun for Russia to have at least one turn on the offensive before defending for the rest of the relevant game time. Back and forth is more fun then defense only. The 1942 German setup is good from a game design point of view. Russia starts with positioning advantage vs superior German economy, which has superior might to the allies initially but inferior economy. It’s a double layer of asymmetric warfare.
For veteran players, the earlier the better really. An official game with a ~1936 start to provide for varied initial game states would be interesting, if nearly impossible to balance.