The general idea is to 'channel' urine away from the edges to the more absorbent center. Most times, especially after wearing for a while they're certainly not waterproof per se, but do help with flooding.
They came about mostly for infants who can have very liquid poop, and who have a tendency to flood.
In the adult incontinence market you're more often dealing with a constant dribble, but they're still nice to have when you get up quickly or sneeze.
They're best demonstrated if you empty a cup of liquid into one quickly. Without them the liquid will tend to run off the edges before absorbing. They just buy the diaper a few more seconds to absorb through the top sheet. By also standing up they help side sleepers by stopping urine running over your bum, finding an ill fitting gap, and ruining the sheets. Every little helps, but by your own personal fit, your mileage may vary.