It's a firewall or gateway device for your network .. Ubiquiti describe it as:
All-in-one enterprise security gateway & network appliance for small to medium-sized businesses.
So let's get our feet wet.
Like the UDM ( Dream Machine ) The Pro includes the Unifi Controller Running Locally. It actually includes all the controllers such as Protect The other two are still beta so we can't talk about them but it also means that in reality they don't exist as a product yet.
The Unifi Controller is the brains and management console for the whole network, by inciding it on this machine you don't need a cloud key or an external server to run it really convenient and the inclusion of Protect for Security Camera Recording puts everything into one device.
While the UDM includes an access point, the UDM Pro Doesn't which makes sense when it is meant for a rack.