Novice question about menus

Hello all,
I have just tried with WP and have one simple question.

I have created a test menu, called it ‘Top menu’. Inside the settings it has a ‘Theme locations’ box. Inside it I read:

Your theme supports 1 menu. Select which menu you would like to use.

Primary Navigation

Nothing is selected inside this combo. Menu shows fine in the page, and if I select ‘Top menu’ from the dropdown, it disappears from the page.

So what does this setting do? I can’t seem to understand.