Velocity-sensitive keyboards respond to how hard you hit the keys while playing, emulating the response of an acoustic piano - the harder you hit a key, the louder the note that comes out.
It’s important to learn how hard to press the keys from the off if you’re seriously considering making any kind of progress as a player, so velocity sensitivity is an important item on your wishlist.
It will also give you more accurate feedback for monitoring the development of finger strength and independence when practising.