This is what my sniper looks like.
I think he's talking about skins/sprites/sounds that give an advantage to the player. Not ALL custom features do this - but there are some. Like there's a sprite where you can put beacons on stickies which shine through walls giving you a VERY huge advantage as you're able to spot a hidden sticky miles away. There are also some sprites that show the enemies health. As for sounds, you can download sounds that customize the spies cloak/uncloak which allows for a very advanced, audible warning.
I used to use custom stuff all the time but I'm all vanilla now.