This is a new section Microsoft has created in response to privacy concerns such as those arising out of recent revelations regarding the misuse of users' Facebook information by Cambridge Analytica. Currently, it only has material concerning regulations in the EU, but more is expected over time.
If your organization has users who live and work in Europe, you'll need to familiarize yourself with these tools to stay compliant with international law. If you're entirely based in the US, they aren't so significant.
To stay GDPR compliant, also be sure to research and enable Multi-Geo in Office 365.
