Why VOX stands for Voice Operated Transmit (or voice operated relay): audio picked up by the microphone automatically keys the transmitter, and it unkeys after a short delay when you stop talking. That means you do not have to hold or press a PTT switch, so your hands stay free for logging, tuning, or running a contest. The transmitted signal itself is identical to PTT operation; only the keying method changes.
Watch out Nothing about VOX changes the signal itself, so the ideas that it sounds more natural, narrows bandwidth, or raises power output are all wrong. Bandwidth and power output are set by the mode and the transmitter, not by how the rig gets keyed.
VOX = Voice Operated Transmit: your voice is the switch, so your hands are free.