A few things
The first and most notable is that you can summon monsters from the extra deck to any space the link arrows point to in addition to the extra monster zone
The second is that if a monster is in a zone an arrow points to, it's considered "linked" to the Link monster which matters in some of their effects. Also some link monster effects specifically allow you to special summon a card to a space they point to.
Third: If two link monsters both point to each other, they're considered "co-linked" which can matter depending on the effects of the cards you're playing
Fourth: Now this is the problematic one: If you have co-linked monsters arranged such that starting in your extra monster zone, they form a chain that ultimately points to the other extra monster zone, you form an "extra link". Now in terms of effects the only Monster I can think of that specifically uses extra links is Topologic Gumblar Dragon, but the real issue is that when you have an extra link, you can use the OTHER extra monster zone, take control of both, and now you're opponent can't special summon to either extra monster zone until they out either of the monsters you have occupying them