Xing it restricts remote access to that item. Don't feel like you have to rush though and X everything, however. No one, including you, will have remote access anyway unless you set them up under the MyHouse menu.
One example of where you might want to restrict a module would be if something like a coffee pot was plugged into it. Then you might want to X it to keep it from being turned on remotely. You could still set up a shutdown macro to turn off the module that could be accessed remotely.