esc_url, esc_attr and esc_html known as Validating, Sanitizing, and Escaping.
Long story short, the main reason these things are important because escaping (fundamentally, sanitizing input and escaping output) is a critical aspect of web application security.
Important Articles On This Topic:
1. The Importance of Escaping All The Things
2. Usage of esc_url, esc_attr, and esc_html functions