Sections specify how changing slugs (or URIs) should be handled. You can specify:
Automatically create a redirect rule when entry slugs are changed
Ask user if they want to create a redirect rule when entry slugs are changed
Redirects are just 301s so you can make sure to keep your SEO (search engine optimization) juice associated with the proper entry and not leave your users with broken links.
You can manage all your redirects and create them from scratch on the redirects control panel page of the CMS.