It does not make sense if you think in terms of playing on keyboard, or with only 1 MIDI track, which is probably why it confused you.
But say you have 2 MIDI tracks playing on the same Retrologue. On the first track, record an A2 note from bar 1 to bar 4. On the second track, record an A2 note from bar 2 to bar 3. The normal behavior is that during playback of the 2 tracks you’ll hear an A2 note from bar 1 to bar 3. But the Retrologue handles it differently (if it is in POLY mode, not MONO…)
With Poly key mode OFF, the Retrologue will play the second note (starting at bar 2) on top of the first note which started at bar 1 (the sound will be 6dB louder then). However both notes will stop at bar 3.
With Poly key mode ON, you will hear the first note at bar 1, and the second note at bar 2 (louder sound), but then at bar 3 the first note will stop playing (less loud sound), while the second note will STILL PLAY, and stop at bar 4.
In other words, the plugin will “remember” that you played twice the same note (it will stack them).