E-mail domains are groups of e-mail addresses with the same domain part (the part after '@' character). All e-mail addresses which belong to the same domain are hosted on the same mail server and have similar settings. Domains in AfterLogic Admin Panel allow you to specify settings (mail server address, port numbers, etc) typical for all e-mail addresses belonging to them and so to avoid puzzling users with these settings.
In your AfterLogic Admin Panel, you don't have to create all domains existing in Internet, you should create several domains which are used by your users most often (e.g. domains hosted by your corporate mail server). User accounts outside of these domains are treated as 'Users not in domain' (but they belong to appropriate domains though), and users need to specify all mail server related settings for creating such accounts.