Firefly III is a manager for your personal finances. The data importer is built to help you import transactions into Firefly III. It is separated from Firefly III for security and maintenance reasons.
The data importer does not connect to your bank directly. Instead, it uses Nordigen and SaltEdge to connect to over 6000 banks worldwide. These services are free for Firefly III users, but require registration. Keep in mind these services have their own privacy and data usage policies.
The data importer can import CSV files you've downloaded from your bank.
You can run the data importer once, for a bulk import. You can also run it regularly to keep up with new transactions.