Shapefiles are a large, monolithic thing. Vector tiles are like the png tiles that you see in mapping applications, only with vector rather than rendered data.

If I was Only interested the data for a small region, I only need to download the tiles that cover the region, rather than a potentially global dataset.

Alternately, the wider zooms tend to have aggregated information, so you can still get a sense of the data at global scale.

yes + this plugin also loads styles, which means you get final map, not just data