A Primary Menu is the main menu selected as primary menu in the WordPress Menu Editor. A WordPress theme may support single or multiple navigational menus at different locations in theme. These menus can be edited using the built in WordPress Menu Editor located at Appearance » Menu.
Most WordPress themes have menu locations that users can edit, filling each menu with their own items. However, if a user does not edit the menus, most themes list pages as the menu items by default. The purpose of a primary menu is to allow Themes to use more than one menu on a site (e.g. one in the header, one in the footer). It also allows users to save menus and switch between the menus they have created.