Pinning an IP lets you choose an IP that you want to connect to everytime you connect to that particular location, it's handy if you find an IP that is consistently fast for you or works good for you for anything else, it's lets you have a shared static IP.
It's very easy to do, first lets connect the app to your prefered location.
Once connected you will see a little "pin" icon on the left side of the text "Remote IP".
If you click this the "Remote IP" will change to "Pinned IP" and the little icon becomes lighter as in the image below.
If you hit disconnect you will see that everytime you switch to this location, in our case Chicago, the IP will show as pinned as in the image below.
To remove the pinned IP just hit the little cross button on the right side and you will then be able to connect to dynamic IP's again.