Why use Attributes?
Calendar events can be extended with custom attributes. Any data that you want to consistently track against events can be created here the same way you might tie an attribute to a user or page.
is_featured attribute is a simple checkbox attribute that you can make manually which the Event List block can use for filtering on your site. You might want to add other attributes such as Address for where an event is taking place.
Sets are simply groups of attributes. You need to create at least one event set for your custom attributes to be grouped in. This will be the label that is displayed on the side of the add event form.
You can add all sorts of meta data using attribute types. If you want to add a simple way to put events in categories, you should check out the Topic attribute. There's a topic tree made by default for the calendar which you can add here.