Each time you select the split option on an ad placement or target type, you are creating a new ad set. What this means is that you are choosing to split your campaign further in order to measure the success of a specific choice.
As an example, if you select to split your gender targeting you will create a two new ad sets. The first ad set will target men, whilst the second ad set with target women.
If you choose to split your ad placement (between 2 options) in addition to your gender split, you will create 4 ad sets
Ad set 1: Newsfeed for men
Ad set 2: Newsfeed for women
Ad set 3: Mobile for men
Ad set 4: Mobile for women
Splitting measures your campaign more granularly and ensures you surface the best performing ads faster!