Basically they work as a bouncer in front of your website and stop all the undesirables getting in. I.e. AI scrapers. Also if somebody decides they want to try and hack you or otherwise cause problems the bouncer beats them up and you never have to hear about it.

If you use a VPN the bouncer is very suspicious of you and you have to jump through all sorts of hoops to get in, which is why some people don't like websites using it. Unfortunately there isn't really a solution since there are a lot of illegitimate uses for having a VPN connection as well, so you have to be suspicious of them.

You use it as reverse proxy, to not expose your hosting servers (e.g. websites, Lemmy instances or what not) directly to the Internet. The idea is that they take care of a lot of security concerns for you, which can otherwise be very demanding if you are self hosting

Their DDoS protection is unmatched