It means that a file was modified on that date. If you go to the third tab in the single day view, you will see the files themselves.
Note: having this feature turned on for SD and CF cards (which is the default) can cause the calendar app to crash in the month view. Search this board for info about changing file permissions to prevent the crash, or turn the option off by Option > Link File and uncheck SD & CF cards. You cannot turn off the feature for internal (RAM) storage.
