This information applies to Analog Rytm and Digitakt
Sounds are stored presets from a track, for example, if you have a specific sound on one of the tracks you can save that setting, which can later be recalled onto any track in any pattern from any project. This includes information about which sample is assigned, the filter settings, LFO modulation, etc. Every parameter on the track will be stored as part of a Sound. The Sound does not store the actual Sample, it only references which Sample has been used. If you delete the Sample from the device, the Sound will no longer be able to load it.
Refer to the product manual for more information about how to use Sounds and Samples.