You know how sometimes, you have a big pile of sawdust to suck up, but you don't want to use a broom? How you'll pull out the shop vacuum? And how it'll breeze through the first bit of sawdust, then gradually choke and wheeze?
Even in normal use, a shop vac's filter gradually clogs with fine-grain sawdust. Eventually, the vacuum loses suction. The air filter isn't too hard to clean, but it'd be nice to keep it clean longer.
That's the idea behind dust separators: sawdust and air go into a cyclone. Sawdust is thrown to the outside edge and removed while the clean air exits to the vacuum in the middle.