Bolt-thru refers to the axle size and configuration – the part of the bike that attaches the wheels to the frame. Many older bikes use skinny skewers, sometimes with quick-release, whereas more and more bikes nowadays have the thicker and more robust thru-axles.
They're important because they make a significant difference to the lateral stiffness of a gravel bike. When you are rolling along on rough roads and encounter ruts or broken-up surfaces at speed, you want those wheels to track as accurately as possible.
Most aluminum gravel bike frames, with carbon-fiber forks, use thru-axles, although steel frames and forks often revert to the traditional quick-release configuration.