Hole entities are representations of physical holes in a part. Compound holes that can contain multiple vertically-stacked sections are represented by a single hole entity. Holes are used for drilling, tapping, and threading strategies. Hole entities are useful as they are visually distinct from holes in a model.
Hole Feature Sets are containers which hold a collection of Hole entites. They help you to group, manage, and organise the holes in your project. This is especially useful when your project contains a large number of holes.
You can access many of the functions you need to work with holes from the Hole Feature Set tab on the ribbon.