When looking at the ETL process (load script processing) in QlikViiew, there are three items to look at when you need to load external data:
a) The client, QlikView / QlikSense desktop or the server version
b) The data source, e.g. a DBMS, Excel or csv files, Sources available in the internet etc.
c) A connector betwen a) and b). For simple file based data sources, you rarely notice the connector, for others (like OLE DB or ODBC connector), you need to explicitely call CONNECT to create a connection. The REST connector is just one of these available connectors, which allow e.g. accessing JSON type data sources.
AFAIK, the Qlik data market is something a little bit different, since it's a combination of b) and c), connecting your client to a distinct number of available data sources (provided and curated by QLIK), some for free, some premium.
So it's mostly a one-click access to (more general, public) data you can use to enrich your (company or private) data.
Like for example weather data or demographic data.