Channels are part of the MIDI specification. They are helpful when using multiple controllers that may send out the same MIDI data (MIDI notes, CCs etc.) or if you want to send out or receive multiple streams of MIDI data. There are 16 channels. MIDI messages that are sent on channel 16, won't be heard by software/hardware devices looking for Channel 1. If you have a lot of controllers or hardware synths, it's useful to place things on different channels to avoid confusion.
If you're only using the QuNeo you shouldn't really need to worry about it. But, for instance, if you have another controller that is setup to control things using Channel 1, then you might want to switch your QuNeo to a different channel to avoid some MIDI miscommunication.