With multiple menus (Menu Blocks) you can have different menu items in different places on your site. Usually this system is only used when you need multiple menu places on your site, for e.g. one at the top (you would call it Top Menu), one ad the bottom (Bottom Menu( and the Main Menu which would be the one you add your posts/contents.

Because the meaning of this system usually means you want to duplicate some of the menu items in an other menu block you have the option for a menu item to add a link to it, meaning you can link it to a menu from a different menu block.

Lets take an example, lets say I have the following menus on the top:
About - News - Contact - Blog

Now we would like to add a Bottom Menu to the site where we would display Privacy Policy but also add Bottom Contact and Home, but we don't want to add separate content to this menus, we would like them to link to the top menus then we just create these menus in the Bottom Menu blocks and we define links for these meanus that would link to the Top Menus, for e.g.:
Privacy Policy -> would not link to anything as this menu isn't in the Top Menu
Bottom Contact -> would link to the above contact menu by entering contact in the link text entry field
Home -> would link to the about menu by entering about into the link text entry field.

With this feature you should be able to create almost any menu system needed by a site.