I just wish he showed 'why' you would use some of these modifiers. That helps me understand. Like, why on earth would you use the Mask Modifier on a bone like that? Would just be nice to know..
I think the course is intended to be a comprehensive technical breakdown of any of the modifiers, that you can always come back to when you are having trouble understanding or remembering what any of them are doing or what any of the weird settings do. It's a long list of modifiers. They "Why" scope arises in other courses where you are building up to a result and the situations present themselves. In this course is more like ok here's the list of ingredients, here's what salt is, here's what pepper is, tomato sauce, dough, this is why peperoni is so tasty, all about temperatures and times; You can always refer here for the concepts, now jump to all the other courses where we're actually going to be making pizza and lasagna and stuff.
It's used more for really complex or really high poly models and troubleshooting weights when you're skinning a rig. In pose mode you can select multiple bones, but in weight painting you can only select 1 bone. The modifier works in both modes. The threshold helps to see at what level to set the limit to when you do clean up(In object mode. click object->Clean up->Vertex groups) This will remove any vertices from any vertex group that has a weight less than or equal to the limit setting. 0 weights set in vertex groups uses up resource which can cause problems in a game engine. Note:I'm still learning so there could be other reasons.
As stated above: Modify is aimed at explaining each modifier's settings and uses, demystifying how they work. Should you come across a tutorial or project which mentions this modifier but are stumped as to how/why it works the way it does, I hope watching through this explainer will help.