Hi Jefrii,
I would suggest reviewing the Links between tables section of the Database Mapping documentation https://experienceleague.adobe.com/docs/campaign-classic/using/configuring-campaign-classic/schema-r... which should explain what referential integrity does.
The integrity option is optional, as such, I personally don't know of any use cases when you must it. But, there may be occasions where it makes managing linked data between tables easier.