Dark mode is a feature that isn’t exactly new, but it is a feature that we’re starting to see being incorporated into apps and websites in recent times. In case it wasn’t already obvious, dark mode basically gives the app/website a dark look which might be more soothing on the eyes when you’re using your computer in low-light situations.
Since having a stark white background in a dark room can be rather glaring, dark mode is meant to counter that. Microsoft also made it clear that dark mode is not a theme, but rather a setting that in the future could be applied to other themes. However for now, dark mode will only work with the blue theme.
Also note that this is for users of the Outlook.com experience (not to be confused with the Outlook app) and according to Microsoft, if it doesn’t work you might want to consider using the Microsoft Edge browser instead.