Every single domain which is registered and hosted has lots of DNS records - some of them are set up automatically when you host a domain, others can be set up by hand if required. For instance, the A record of a domain is its IP address i.e. this record shows where the site is located; the MX records reveal where the e-mails are managed, while using an SRV record you can use a domain for unconventional purposes, for instance a Voice-over-IP service. To be able to set up and modify particular records enables you to have different services with different companies if, for instance, your current host provides stable web hosting, but has difficulties with the e-mail service, or you simply prefer to get a certain service from a certain company. Though you will be able to set up and modify these records freely and without any restrictions as you own a given domain name, some companies charge extra to give you this option.