The Site Audit tab is a dashboard that lists all the SEO factors checked on a site-level.
Each factor has its own marker (Correct, Info, Warning or Error) showing if any aspect on your site needs fixing:
These are major issues on your site, such as broken links, 4xx/5xx resources on your site, duplicate content (due to www/non-www, http/https versions issues or duplicate meta details), and others.
In most cases, they indicate that you are not following best SEO practices and could do better (for instance, eliminate redirect chains, compress too big pages, shorten too long title tags, etc.).
For instance, you may check whether all redirects lead to correct destination pages or whether all the alt-text are filled out where applicable. These are not issues and don't necessarily require fixing.
Clicking on the icons will sort out all the factors that return certain statuses. Going to any particular factor's section, you'll find a brief description of the factor, the list of URLs it concerns, how-to-fix advice, and other details.
You can export the details from most of the sections with the Quick Export button (Enterprise version only), or Copy to Clipboard with the right-click.
Keep in mind: once you've fixed certain errors, you need to Rebuild the project. This is to let the app re-crawl the website, reflect all the fixes, and only report the remaining issues.