Web.config is the main settings and configuration file for an ASP.NET web application (which SharePoint is dependent on). The file is an XML document that defines configuration information regarding the web application.This file stores the information about how the web application will act. The web.config file contains information that controls module loading, security configuration, session state configuration.
The Web.config file is the primary configuration file for any web service. Since the CSF connectors are implemented as web services, their Web.config files must have the proper setting in order for the connectors to function. Each connector relies on the Web.config to be able to find the Common.config, EnterpriseInstrumentation.config, PolicyCache.config, and the location of their own configuration files.