The SharePoint datagrid web part retrieves data from a SharePoint server and displays it in a table (grid). It utilizes web services according to the type of the loaded data (Lists.asmx, Imaging.asmx).
Please note that the 'SharePoint site URL' property of the web part contains a sample URL by default. For the web part to display some data, you need to specify a URL of an existing service/server in the property and set 'Visible' property to TRUE.
The web part belongs to the SharePoint integration module. Full documentation of the module can be found in Kentico CMS Developer's Guide -> Modules -> SharePoint integration.