Floating windows are normally used as informational windows which don't get covered by selecting another one. This can be useful for an Event List, an Environment, or a Mixer window, for example.
When a window is opened as as floating window, it does not accept any keyboard shortcuts which have been assigned to this window type. This gives you the advantage of floating windows in the foreground that won't block the key commands of an editor or Arrange window in the background.
For example: Open a normal Arrange window, and then open an Environment window as floating. In this configuration, all keyboard shortcuts are passed to the Arrange window. This way, you can use commands to move or delete Regions in the Arrange window without accidentally deleting a mixer channel or another object in the Environment window.
Exceptions to this rule are some special keyboard shortcuts for plug-in windows, which by default open as floating windows. Examples of these are next/previous plug-in setting or next/previous EXS instrument.