Applications are a way of collecting related functionality and having a modular design. Also, many Rollbase partners use this to let different types of users see different functionality.
WRT this question:
>:> from what I am viewing in the tutorials all the applications share the same database? - Is that correct?)
Answer: YES. All the data is stored in the same database (and so all Objects share the same transaction scope).
Different users do different things, depending on their roles and/or jobs. Organizing things so that a user has ready access to the functions that they need to use makes life easier for them.
Combining all functionality into one application is possible but will make life harder for the users and also for the developers. If you were coding an application, you wouldn't want the whole thing in one source file, would you?