It's basically a means to say "this is the end", see map:
When you have a mapping that contains an Ex command, you need to put a line
terminator after it to have it executed. The use of is recommended for
this. Example:
:map _ls :!ls -l %<CR>:echo "the end"<CR>
also,
<CR> [count] lines downward, on the first non-blank character |linewise|.
While you can use literal keys in mapping definitions (the Enter key would appear as ^M, or even just as an additional new line, depending on the settings), Vim provides a special key notation for key (combinations), so that it is easier to define (you don't have to use i_CTRL-V to literally insert the special character) and understand (<A-a> better expresses the intention than the equivalent á) the mappings.
See :help key-notation for a list and explanation.
Why <CR>?
As many mappings invoke Ex commands (e.g. :w) and therefore have to switch from normal to command-line mode, they have to conclude the command with <Enter> (or <CR>), just as you would when manually typing the command.
notation meaning equivalent decimal value(s)
-----------------------------------------------------------------------
<CR> carriage return CTRL-M 13 *carriage-return*
<Return> same as <CR> *<Return>*
<Enter> same as <CR> *<Enter>*
Mappings often involve Ex commands and you must press <CR> to execute them so it's included in the mapping.