It means that you're responsible for freeing it yourself.
If you drop a component on a form, it's constructed with the form as the owner. This means that when the form is free'd, it will free all of the components it owns. The same applies if you pass a different owner (for instance, creating a TButton at runtime and making a TPanel it's owner); when the owner is being destroyed, it frees all of the components it owns in the process.
Using nil as the owner means that you're creating it manually in code, and you'll accept the responsibility to free it yourself. If you forget and your application closes, it's memory is released back to the operating system. However, if your application runs for a long time after you forget, you have a chunk of memory that's in use that shouldn't be.
与恶龙缠斗过久,自身亦成为恶龙;凝视深渊过久,深渊将回以凝视…