On the Data Source tab, when the Show Selection of Lists for Columns check box is selected, the Displaying Columns Set section is displayed. It is not necessary to use this section. For example, if the lists you have selected in the Rollup Source section have identical columns, that is, they all use the same content type(s), then you do not need to use this section.
You only need to use this section when the lists you have selected have custom column(s) and you want to use those custom column(s) to decide what to display in the Lightning Conductor app part. You can select more than one list when the custom columns are unique in each list. The columns from the selected lists are then displayed in the Columns section on the Columns tab.
For example, say you have two Task lists: TaskListA and TaskListB. TaskListB has a custom column called MyCustomColumn. All other columns are the same in both Tasks lists. If you want to display MyCustomColumn or use the values in the MyCustomColumn to filter what to display in the Lightning Conductor app part, select the check box to the left of TaskListB when you have expanded the tree view for that site in the Displaying Columns Set section. Complete any other configurations on the Data Source tab, and then on the Columns tab, use the custom columns from each selected list to build what is to be displayed with the Lightning Conductor app part.