"After all the fertile land in the immediate neighbourhood of the first settlers were cultivated, if capital and population increased, more food would be required, and it could only be procured from land not so advantageously situated."
– David Ricardo, An Essay on Profits (and the Rent of Land)
After having gotten initial bearings and orientations in the New World the newly arrived Pilgrim will eventually want to locate a small corner of it to call his own. Settling allows you to Homestead land and construct a small but functional dwelling.
You can have more than one personal claim at a time.