A sump, at the end of the day is just a place to hold things... those things may be equipment, rock, a refugium, or heck, just extra water volume. A refugium is typically a place where you keep living organisms that could not otherwise thrive in your display for some reason (typically stuff there would eat them too quickly) that possibly contribute to the food web in the display. The refugium should share the water supply / filtration with the rest of the system, it can be its own tank, or a chamber in the sump. Most people use a refugium to grow macroalgae in hopes that it will out-compete ant nuisance algae that could be growing in their display tank.

examples:
My Sump has 3 chambers, the skimmer is in one, the return pump and heaters are in / connected to the second chamber, and the 3rd chamber is a type of refugium.

I actually keep two "refugiums", one is a 29 gallon tank with a light that runs opposite my display lights, it's where I grow my chaetomorpha algae. The second is an un-lit chamber in my sump packed full of live rock, I use this to allow sponges that like the dark to live in peace away from any fish in the display that would otherwise eat them. The sponges help filter the water.