What is the import/ Export XML for?

The main point of it is for moving your posts somewhere else, or from somewhere else.

For example, you can export your Blogger blog (they have a similar tool), and import them into your WP site. Or the other way around, export from your WP, and then into Blogger, or many of the other blogging platforms.

You can also use is to export from one WP site, and import them into a new WP site. Like from your local installation (when you are developing the site), and then import them into the hosted/production site.

I haven’t tried exporting/importing from the same blog. I would think you’d get an error that the post already exists, or you’ll end up with duplicates.

Are wordpress posts stored in the SQL Database?

Yes.

…then what is the point of the XML file that you can import/ export?

Pages, post and/or comments separate from everything else in the database.

If I export the XML file and change it then re-import it – then does that also change within the SQL Database?

No, importing something does not synchronize it with itself if it is already there. So no, an import will not change anything, it will merely add something new even if that means you end up with duplicates.