The Help tab allows you to do the following actions:
Restore / Download a backup of the Denali's configuration. Here you can export and import settings configurations. Note that this will not back up your properties but only your settings!
Show the settings array: For developers mostly. Here you can see all the settings in an array form. Useful for advanced troubleshooting.
Ignore new Denali Version updates: This will ignore updates and disable updating the theme. Use only if you have heavily customized the Denali theme and you don't care about updates. In which case you should have used the child theme, but oh well. You have to keep your work safe somehow.