I'd assume they mean that command return values can have types besides string. In classical shells, all data is stringy, so every command has to re-interpret everything. PowerShell can actually use data types.

In powershell, commands may return types different from string and other commands may accept arguments that are not strings. For example, you can pass an array between commands where in bash you just have a string with \n separated values. You may also interact with more complex objects

I once made a script for a monitoring software that takes its input as json, so I built a custom object that had all the data and then called .tojson on it and that was that.

As far as I understand it it's like stdout and stderr but with some additional ones for debuging, logging, etc..