Well, it actually changes the URL that the post or page points to. So, say you have a blog. But your friend asked you to write something over at her blog. You could write a small post on your blog that says (in the content) “hey, I wrote this thing on Jessica’s blog, here’s a link: <a href="https://jessica.example/post/">Post for Jessica</a>". Or, you could write a post called “Post for Jessica” maybe fill in the excerpt as a teaser, and then use Page Links To to point it tohttps://jessica.example/post/. Then people would be reading your blog, and that post excerpt would show up on the front page, and if they clicked the title, they’d be at the post on Jessica’s blog. So it allows you to integrate external URLs in ways other than just putting links in post content.
Another use use is in menus, or in automated page lists.
Another use case is when you want to “move” a specific post from one site to another. Because anyone with the old URL will get a redirect. So, say you had some cool photo posts but then started a separate photo blog. You could use this to redirect them.
I’m not sure if this is the right use for cross-linking posts. You might want to look for a “series” plugin, of which there are a few. They generally use taxonomies behind the scenes you group your posts into collections. Here’s one example: https://www.ads-software.com/plugins/organize-series/
