it helps you test your own apps , side load apps when downloaded from windows market. these enable you to developer unlock your phone without been connected to the PC. previously in windows phone 8.1 you were supposed to connect to your PC and then through a tool you could developer unlock your device. that feature is now available right in your phone.
So XAPs downloaded from other sites like some blogs hubs etc. Will work directly?
There is one site which provide games which are not available in store