They add context to notifications.
While you are inside of a safe zone, the app continues to listen for ANKRs, but will not send alerts or notifications if you go out of range of an ANKR.
When you leave a safe zone, the app will send you an audible safe zone alert if you have left something behind in a safe zone. The audible alert and lock screen notification are different from lost item alerts.
Safe zones have a minimum radius size of 100 meter / 300ft. They have no maximum size.
Wifi needs to be turned on on your mobile device in order for safe zones to send notifications properly. They function by listening to wifi signals instead of using the phones GPS, which greatly conserves battery.