A book file is an InDesign feature that manages many documents as one publication. DataMergeStudio can build one from your merge – most usefully, to get continuous page numbering across a whole run.
A book (.indb) ties multiple InDesign documents together in order, so InDesign can treat them as a single publication: continuous page numbers, combined output, one place to manage them all. The documents stay separate files; the book is the index that binds them.
A book is built from InDesign files, so it’s available only when your export produces them – when the export format is InDesign, or when you export PDF with "keep InDesign files" enabled. Without InDesign files to collect, there’s nothing for the book to bind.
The classic reason is continuous page numbering: many merged documents flowing into one numbered sequence, as if they were a single large document.
Produce one from your merge: Creating an InDesign Book from Your Merge