The Microsoft Display Dock is a very niche accessory. It's a palm-sized adaptor with one (and only one) use: Turning your Lumia phone into a makeshift PC with the new Windows 10 Continuum feature.
The much-hyped Continuum is one of the big new features on Microsoft's Lumia 950 and Lumia 950 XL. Continuum is the point where the desktop and mobile versions of Windows 10 meet. It's a baked-in feature that allows you to put your Windows 10 smartphone into a PC mode to be used in conjunction with a larger screen.
The first and most basic of using Continuum is with the screen mirroring functionality on a large-screen TV. The Lumia screen will work as a touchpad and keyboard, while the tiled look of Windows on your smartphone gets turned into the more familiar tablet mode of Windows 10 on the big screen.