Purging files is a good way to help prevent your Filestore and consequently your database from containing unecessary data and metadata (information about data). (the benefots include, reduced back up times, smaller backups and better overall performance.
In Vault it is possible to perform a "Purge" in both the Vault Client and Vault Server. The Vault Client will only allow a user to purge select file versions. The Vault Server will allow you to purge an entire Vault Database.
If you need to understand more about how File Version Purging works and and the rules applied when you perform a Purge, then look to the help in the Vault Client. Press F1 and look for "Purging Versions". Under the Concept Tab is a section of particular interest called "Basic Rules of Purging".
Understanding these rules will hopefully give you the confidence to purge unnecessary data from the Vault.