Talents increase champion's and their soldier's stats. These are very important for all champions. Champions gain talent points as they level up. They can then use the points to learn new talents.
*Tip: Use points wisely when learning new talents. Light champions learn talents applicable to light soldiers. Medium champions learn talents applicable to medium soldiers. Heavy champions use talents applicable to heavy soldiers.
You might want to learn how to determine a champions innate skills to be able to complete chapter 1 and chapter 2 in explore mode.