Being able to edit documents online is very convenient. However, it lacks the advanced editing controls that the Microsoft Office desktop apps provide. The client editing capability brings together the best of both worlds. It lets you store and share your documents on the cloud, where they are easily accessible to everyone. Also, you can use the rich client capabilities to make modifications to your documents. As of now, you can only edit Microsoft Office documents connected to the cloud this way. All other file types that you would like to edit using the client applications will first need to be downloaded, edited, and then uploaded back to the library.
In addition to directly opening online documents in a desktop app, you can also use the Open in Desktop App option to open, in the corresponding desktop app, any online documents that you may be viewing or editing in your browser.