This option saves the palette of the current file to a .PAL file, which is really just a PCX file with a different extension. You can use these PAL files (or any bitmap file with a palette) to apply a palette to a given picture using the Color Depth dialog box, or even to apply the same palette to multiple files in Batch Processing.
You can make the .PAL files visible in ThumbsPlus by selecting them in the Options | Preferences - File Types dialog box from the main window.
ThumbsPlus .PAL files are not similar to or interchangeable with .PAL files from other applications.
ThumbsPlus stores a small (generally 64x64) pixel bitmap along with the palette, so that useful thumbnails may be generated from the files.