What is less secure app? How is it dangerous for me?

In my understanding, "what is less secure app" can be answered as the applications that send your credentials directly to Gmail. Lots of things can go wrong when you give your credentials to a third party to give to the authentication authority: the third party might keep the credentials in storage without telling you, they might use your credentials for purposes outside the stated scope of the application, they might send your credentials over a network without encryption, etc.

Additionally, it could be an app that a user has installed locally such as an IMAP client (see the following support note from google: https://support.google.com/accounts/answer/6010255?hl=en) "Less secure" isn't meant to say that apps that use your credentials are necessarily full of security holes or run by criminals. Rather, it is the category of behaviour -- giving your credentials to a third party -- that is fundamentally less secure than using an authorization mechanism like OAuth. With authorization, you never allow the third party to see your credentials, so an entire category of problems are instantly eliminated.

In OAuth, you authenticate directly to Gmail with your credentials and authorise an app to do certain things. The third-party app only sees an authorization token provided by Google as proof that you authenticated correctly and agreed to authorise that app. As for why it would be dangerous to enable less secure apps (versus using a particular app that may be untrustworthy), I'm not totally sure. Google's refusal to authenticate happens after you've already given away your credentials to the application. It seems to me that any time you provide your credentials to a third party, it doesn't matter whether or not you've allowed authentication by "less secure apps" -- someone can just load up a log-in screen and directly log in as you. The only possible cases I can think of are:

Possibly "app-based" login attempts are treated differently from "human-based" login attempts, in particular how they treat sudden changes in location. Maybe the "less secure" app you're trying to use has servers on another continent, so it's not suspicious to Gmail when an app tries to log in as you somewhere else, while an attempt to use the login screen from another continent by a human would be suspicious.

Possibly "less secure" auth methods include some other login method that doesn't directly reveal your credentials to the third-party but are less secure than OAuth 2.0 in some other way (e.g., they're vulnerable to eavesdropping by an attacker, or they make it somehow easier for an attacker to access your account without knowing your password).

Those two points are pure conjecture and very well may not be true in actual fact.