It means that the received package is big, but relatively light. It may be a good idea to ship items separately. «Dimensional weight» means that actual weight is two (or more) times smaller than dimensional weight.
Example: when actual weight of package is 10lb, but dimensional weight is 30lb, we consider the package as having heavy dimensional weight.
Some delivery companies charge us by dimensional weight. We prefer to charge customers by actual weight to keep the pricing simple. But in some cases, items are just too big (and light, at the same time) and we have to use a huge box to send a small light item. That costs us too much, and we can't afford doing it since it means we pay the delivery company a lot more than we charge you, so we tell you that the item has dimensional weight to inform you that you may get charged extra for increased shipping costs.