This option lets you load a set of attribute names which are shown as columns in the object list afterwards.
Together with the objects names you can configure LEX to show any object attributes to be shown directly in the list as additional columns - and you can save the column definition to a text file with the option View - Column Field Chooser - Save Column Set.
The sets will be stored as normal text *.txt files containing the column attribute names. The column set files are stored in the subdirectory 'LDAPAttributeSets' in your LEX profile directory. LEX shows all the text files which are found in this directory as menu options, so you can load a column set quite easily:
If you want to get rid of a saved column set, just remove the according *.txt file in the in the subdirectory'LDAPAttributeSets'in your LEX profile directory.
You could reach the Load Column Set option also by opening the context menu of the object list column header - just right-click on the column header: