A VFD is a vacuum fluorescent display - the display tube within the empeg. It is made of glass and can break if the player is dropped or suffers from other trauma. If the vacuum goes, so does its ability to display. It can also suffer from a number of possible electrical faults inside the module, but that is more rare.

People like to have spares in case it breaks, because it is a relatively easy repair...

Edit: By the way, an excellent starting point for you might be the Empeg FAQ. There is a ton of great information compiled to help get you started with the player, and to answer a number of questions you may have.