It means how many thumbnails it tries to process in parallel, which can put more load on your system and possibly affect other apps running at the same time. Higher values will go faster, but use more resources on your PC to do so.
So if you want it running in the background, not interfering with your normal usage, set it to Low, if you want it done fast and don't necessarily care if you may notice that its doing it, might as well use High.
