The Selection Follows Playhead menu item, located under the Sequence menu, was added to Premiere Pro in the 2015 update. If you have a check mark next to this menu item it will mean that as your playhead advances along in your sequence timeline the clip that is under the playhead will be automatically selected.
This saves you time from having to click them. Depending on which panels you have open you then can make changes to the clips as you move through your sequence timeline. For example, the video I made below shows you that if you have the Effects Control panel open that each time you stop your play head, or advance to each edit point using your up and down arrow keys, you can change the video effects or any effects you’ve already added. This can also be especially useful when you are color grading using the Lumetri Color panel.
Also, a quick search on google shows that many people find this annoying as proven by all the requests on how to turn off “Selection Follows Playhead.” So if you don’t like having that function on, refer to what I just said above, and do the opposite. You’re welcome.