What are sitemaps?
Sitemaps used to mean rubbish pages on your website that listed every other page. No-one used them and they weren’t very useful. We aren't talking about those. Your sitemap is a file that you probably will never see that lists all the pages on your website that you care about. We tell Google where that file is via the Search Console (formerly Webmaster Tools). Google can use this to assist when ‘crawling’ or scanning your website.
Why do they matter?
We like you to have a sitemap and if your site does not have one and you come anywhere near us, we will bellyache until you do. Once a sitemap has been submitted to Google, Bing and whoever else is relevant, we get useful information back, telling us if certain pages in the sitemap aren't accessible and how many of the pages we have submitted are actually indexed.
What should I do about it?
This is a useful thing to keep an eye on, as it can serve as a clue to all sorts of different types of issues. Take peculiarities in this area on a case-by-case basis.