Not everything you find is something you want right now. Saving it keeps it within reach without cluttering what you actually have to do.
Saving something
On any content page, use the save button in the action bar under the player — the bookmark icon, beside share and subtitles.
Finding it again
Open My Learning and look under Resources in the left-hand column:
My Playlists — what you have saved, organised into your own lists.
Favorites — the things you marked as favourites.
Recently viewed — what you opened lately, whether or not you saved it.
How this differs from assigned training
Your playlists are yours. Nobody assigned them, they have no due date, and they do not appear in anyone's compliance report. That is the point: somewhere to keep the useful thing you found on a Tuesday for when you actually need it.
Not to be confused with
Administrators can build Playlists / Learning Paths for the whole hub — sequences of content with a subject and an order. Those arrive in your To Do or Shares, not in My Playlists.