The words refer to the input connections.
Internally, TFT monitors are digital - but to ensure compatability with 95% (or so) of computers (which have analogue monitor - VGA - outputs), then most monitors have analogue inputs too.
Now some, mostly relatively new, computers, also have digital - DVI - outputs for the monitor (usually they also have an analogue output too - for compatability woth most monitors!).
As graphics cards are also digital internally, a VGA-VGA connection for TFT therefore involves a conversion from digital to analogue at the output of the graphics card - then a conversion from analogue back to digital at the input to the monitor.
Clearly it makes sense to avoid these unnecessary conversions, and go straight from digital to digital.
In theory this makes for a better picture - in practice the difference is small - maybe even unnoticeable in some cases.