You probably asking yourself why you need it... well it's quite simple, if you like automating things in your life, like for example you have HomeKit appliances in your Home, and you wish your to integrate your Mac into your home automation, Siri Shortcuts is a way to do it. John Voorhees spoke about this on AppStories.
Siri Shortcuts are supported starting from iOS 12. To add Siri Shortcut look for down arrow (▼), tapping which opens a view with additional actions. Tap on Add to Siri, and then record phrase that will be used to run this shortcut.
You can change the phrase or delete the shortcut from the app Settings ➤ Siri Shortcuts.