What is a Headshell and what does it do ?

When you need to replace cartridge it's easier with removable headshell.
There are also upgrade options for better headshell. Having more than one headshell gives you advantage to mount fast cartridges with them for certaine purposes you may entertain.

Phono cartridges sound different! I have a moving magnet (mm) mounted on one headshell and a Moving coil (MC) mounted on another. Each, provides something different to the musical presentation. Being able to switch cartridges quick and easy is a plus. How you could have a TT with multiple tone arms but that gets pricy.

Wow this question is to tough.

It adds some weight to the Arm for better tracking