Importance shows the importance of individual pages within the website. It's not a page grade, so it doesn't say anything about your page's health; it only reflects the "authority" of the page.
A page's importance is a score expressed on a scale from 1 to 10 and is calculated using many factors, including the number of internal links pointing to the page, its depth within the website structure, and how often its content changes (the more often, the more important). The Importance metric also includes Google Analytics and Google Search Console data if you've connected these integrations on your website.
The higher a page's importance score, the more important it is within the website. You can use the slider to filter for pages with at least a certain importance score.