Domain is the address of the site by which the site can be found on the Internet.
By connecting your domain to the site created in mssg.me, you can make the site open not only at the address of the https://mssg.me/username format, but at an address, for example https://www.mydomain.com, in place of www.mydomain.com specifies the name of the domain you are connecting.
You can read more about what a domain name is by clicking here