The "Context" is the means of filtering the PatientEngage data at any level of the site, be it in site settings (entire site), a page (that page, its childpages, and components of those pages), or on individual components (applies to that component and any child components).
For example you may want a section of a page to apply to only one location on a multi-location site. By setting the context on a section, all components and tokens in that section will use that specific location. Should you add a list team component to this section, it will list team members from your chosen location.