Xano and Auth0

I have been watching the Auth0 video and I am a bit confused. There are some points that I would like to discuss.
1. At 4:41, we go to the demo link and have to enter the Base API Endpoint. Why do we do this? What is going on under the hood so that we can apply it to our own app?
2. At 4:52, what does the 'continue with Auth0' button do? How can we implement it into our own app?

Hope I was clear enough.

Thanks,
Seno

P.S: Would be helpful if you tried this with a bubble/no-code app rather than a demo app, imo.