This is only used in
template-loader.php, to determine whether it should load a theme file or not. The normal “boot sequence” of WordPress (started in
wp-blog-header.php) loads the plugins, parses the URL, executes a post query based on the URL, and calls the theme. This main post query is typically used in “The Loop”.
So if you want all the advantages of URL parsing but not display it using the site theme, you can set
false and it will not execute that final step.