A Central Management Server can be set up in SSMS in order to manage several servers, like execute the same query against each server, or manage policies for all servers.

I was confused at first, because the same functionality is available by creating a Local Server Group in SSMS. You can right click on the group and run queries, evaluate policies, etc.

I found a post that explained why using CMS is preferable:

Basically, the Local Server Group information is stored in a file locally, so each machine has to maintain its own configuration. The CMS information is stored in the MSDB database, so the same configuration can be used by multiple users, plus you can back up the data in case of server failure.

Set up is easy, just open the Registered Servers tab, and right click on ‘Central Management Servers’ to set up the Central server. One that’s added, add the servers that you want to monitor. You can’t include the Management server in this group.