It's a link. That's all it is.

It takes you to the specific message the link is attached to. So if you want to share that message with another member, you can more easily do so (as this wasn't an option previously for these sections of the community).

It does the same thing as the numbers do on individual posts in a thread. If you scroll over the "#4" in Fooze's reply, you'll see that's also a permalink -- it just doesn't say so. If you shared that link with another member, they could see/access Fooze's reply in this directly.

Permalinks do nothing on their own. They need to be shared by someone with someone else.

Hope that helps,
DocJohn