Say for instance you had a folder with large files, like OS Backups, or movie files it may not be best for those often several gigabite sized files to be on all of your devices when you may only need them on one. Having an unsynced directory will allow access on the web client, and make it possible to download these files anywhere, but they do not automaticlly download to your other devices saving storage space on those devices. Just know these unsynced directories and files will be inaccessable when offline.
First make a directory, this can be done on the web client (advised) or by simply making the directory on the client device
If this dows not work: