Components are various bits that make an actor, think of them as of small parts:
A Static Mesh Component is a component that displays a static mesh, for example. In VR screen space widgets do not work so well so Widget Components often display regular widgets in 3d space instead.
You can see it in my previous post - where the green arrow is. The flashlight actor has a widget component attached to it. That component then creates the widget.
Some reading, just in case: