It means the plugin has the tools that help the blog owner to comply with the GDPR requirements, of course only for the data the plugin manage. As you know, there is not a plugin that makes the blog (or better the business) GDPR compliant, but every plugin should provide the tools needed.
We’re releasing some articles and a documentation page, and I think they’ll be updated to answer all the possible questions.
More, WP is working on a set of core tools to better manage the privacy and when available we’ll integrate Newsletter with them.
Stefano.