What that does is link the component identifiers (R1, C3, D2.....) in the schematic to the components with the same identifier (R1, C3, D2.....) that you have added to the PCB. Once linked, if you select the "Highlight net connections" button (lower left) and click the cursor on a component's pad, it will highlight all other component pads that are connected to it in the schematic.
If you make changes in the schematic while editing the PCB, make sure you re-save the schematic, and refresh the link in the PCB.
Ken