it just allows you to manually launch the Couatl engine, which GSX runs on.
Normally couatl will auto-launch via the exe.xml when you start MSFS, however (due to incorrect encoding and syntax issues) the exe.xml is notorious for occasionally becoming corrupted
and having issues auto-launching 3rd party external plugins, usually it happens after a piece of 3rd party content incorrectly modifies the exe.xml to add a new <Launch.Addon> nesting to the XML.
if everything is working normally you don't have to use the "Start Couatl for GSX MSFS" shortcut, it's there for convenience.
if GSX is taking a while to start (usually b/c the simconnect API is overloaded) or if you are stuck on a menu, you can manually kill the Couatl process from the task manager and then use this shortcut to re-launch the engine, which will allow you to restart GSX.