If script security is enabled, users will need to wait for an administrator to approve Job DSL scripts or run scripts within a restricted sandbox. Importing classes from the workspace is not possible since the classes are not subject to the approval process. Entries in the "Additional classpath" also need to be approved and only JAR files are supported.
If script security is disabled, any user can run arbitrary code within the Jenkins process (e.g. terminating Jenkins or undermining the security model). This includes users who are permitted to push Job DSL scripts to SCM repositories and thus may trigger jobs running a Job DSL build step.
This setting is only effective if security is enabled.