Good question, and I don’t really know I’m afraid. Anything to do with device specific hardware I guess, and possibly other stuff?.
If you look in the file proprietary-files-vendor.txt for a specific device, you will see the files that the extract-files.sh script tries to pull from a connected device (or a custom ROM). For XZ1 Compact lilac you see stuff to do with graphics, audio, media playback, bluetooth, DRM, fingerprint sensor, NFC, all of which is likely to be connected to proprietary bits of hardware.
It’s a bit of a nightmare to be honest: flailing around with vendor blobs is what is holding me up in making an Android 11 / R build for lilac. I made one build - v0-18 - which ran but the setup wizard kept crashing. Stupidly I didn’t keep the vendor\sony\lilac directory, the v0.19 build doesn’t boot, and the v0.20 build doesn’t build.
Life is much easier when the person who makes a ROM puts all the vendor blobs in a git repo somewhere public, like the guy who makes the unofficial LOS ROMs for Z5 Compact suzuran 