It creates a Wine prefix to be used only by Xenonauts, which can help prevent harmful cross-interactions with other Wine applications.
A Wine prefix (also called "bottle") is a sort of virtual installation of Windows - it has Windows-style folder structure (e.g. "Windows", "Program Files", "Users", etc) and contains all the imitation .dlls that translate Windows-specific calls into Linux-specific ones, as well as various user settings. Problem is, some tweaks that may be necessary to make one program work under Wine may in turn cause a different program to break - say, one program doesn't launch unless you use an actual DirectX .dll from Windows, whereas another only runs when you use the version of that is provided by Wine. It is possible to set up individual configurations for each program, but creating a fresh prefix is a simple and foolproof way to avoid complications of that sort.
In effect, this increases the total install size of the game (by ~300MB), but prevents potential idiosyncratic issues from cropping up for users who have done something with their Wine configuration that Xenonauts doesn't like.