MIDI thru is for passing the signal that comes in the MIDI in to another device. So whatever comes in the MIDI ion gets passed 'thru' the MIDI thru.
So you can have a master keyboard go into a module and come out the thru to another module and they will both get the same signal. If you just used the MIDI out you would pass the module's MIDI data on to the next module.
Think of it as a MIDI mult.
Get it?