Vulnerability doesn't mean anything specific on its own, it just means something about the item (SFX in this case) is vulnerable to some form of abuse.
In this case it appears that SFX can be manipulated by malicious actors in order to perform PowerShell and possibly other operations on systems where the self-extracting executable files it creates are run. In the examples I briefed through, relatively severe things that could damage or aid in remotely taking over your system. Read the articles for more, I didn't truly care since I'd never experience this on my own Windows 10 in S Mode system, since it can't run legacy executable file formats which is why it's so secure.
Rob