In order to send and receive MMS messages, you phone needs to connect to an MMSC (Multimedia Messaging Service Center) as specified in this field.
This field needs to be set to the MMSC address (which looks like a web address) provided to you by your carrier. If this is not set, or set incorrectly, you won't be able to send or receive MMS messages. People who send MMS messages to you may not be notified that you don't receive them.
MMS messages work similarly to SMS messages, except that instead of including just 160 characters of text, they may include photos and short videos, along with text that is longer than 160 characters. Your phone may not make it clear when you are sending an MMS message, as its built-in messaging application may automatically choose whether to send a message as SMS or MMS based on whether the message contains images, or even its length.
MMS messages require a data connection, but many carriers will not charge money for the data transfer that they use, instead charging a certain fee per message sent (which will usually be much higher, anyway). Thus, most carriers won't consider the data used by sending or receiving MMS messages towards your internet data limits.
Note: Some carriers require the use of a different Access Point Name (APN field, above) for MMS and for internet data use. When this is the case, you will need to have multiple separate APN settings in your device with different Access Point Names configured, and only the MMS-specific one will require the MMSC field to be set.
After changing the MMSC, MMS proxy, or MMS port fields, or any other fields in the APN you use for MMS messages, you may want to test that MMS messages are still being sent or received correctly - for example, by sending a message with a picture to yourself. This may, however, cost money.