FileVault is a feature of macOS that offers full-disk encryption for your Mac. This protects your files if someone were to steal your Mac. Without FileVault, someone with possession of your Mac's hard drive could view the data in your files. With FileVault, that data is encrypted and can't be read. It is unlikely that you will need FileVault, but it is still recommended if you are using a portable MacBook that could easily be stolen. Some companies also have policies that force employees to use disk encryption.
Links: Use FileVault to encrypt the startup disk on your Mac, Encrypt Mac data with FileVault