This window is where you can define the animation mode used (toggle between Reference Pose or Animation Asset). There is also an option for assigning the current animation to preview (which is the same as Double-clicking an animation asset from the Asset Browser.
Another important feature of the Scene Setup window is the ability to change the Preview Mesh for your animation. If you have multiple Skeletal Meshes that share animations with one another and want to preview the animation using a different mesh, you can do so from the Preview Mesh (Animation) drop-down menu.
You can also setup and define Preview Mesh Collections to use as Additional Meshes. These are used to build collections of related Skeletal Meshes that are animated together (such as components of a character). You can create a new collection from this window or assign a previously created collection.