In short, in stead of Reason sending all of its output DIRECTLY to your soundcard, it is gonna send it to what ever daw you rewired it to.
So you'll see (after setting it up) a channel in the other daw which will handle like any other channel which you can then add effects to.
Some people like the effects in other daws better, so this will come in handy for them. I personally dont feel the need to get out of Reason, to me its a matter of personal preference i.e. workflow.
What you can also do:
In the rack, way in the top you have the "hardware interface" i/o section. If you select "more output" you can have up to 64 mono outputs.
You could then (in stead of having every channel routed to a mix channel; evertything will go to the ssl mixer) route individual channels directly to the i/o section.
Then in the other daw, you can set it up so that you'll see the 64 channels there as "normal" channels, thus you can add effects to them and then mix in there like you would do normally.
Conclusion: if you prefer the vst side of things or generally like working in that enviroment, go give it a go. Otherwise, dont bother.. I'll save you alot of hassle..
Side note: some people like Reason for it synthesis only, so they will create a synth or two, route that to the other daw, were they will have other stuff going on already and have Reason purely for its synths.