What is Import all data feature in Tableau?

It is the option that brings the entire data source into an extract, rather than a filtered or aggregated subset.

The alternatives in the same dialog are importing some data — applying filters, hiding unused fields, aggregating to visible dimensions, or taking a top-N sample.

Importing everything is the simple choice and fine for a small source. On a large one it produces an extract that is slower to refresh, larger to store, and mostly full of rows and columns no view will ever touch.

The habit worth having is hiding unused fields before extracting — it is the cheapest performance improvement available, and importing all data skips it.