I haven't used the paint, but a glaze is an evenly distributed transparent layer of pigment, as if you'd thinned the color with medium until it was transparent. (Different from a wash which doesn't have enough medium to dry into a consistent film.)
A base color with a glaze of the same color over it creates a more intense hue; this is often done with yellows which tend to be transparent, so a single coat looks washed out. Building up layers of yellow glaze eventually produces as intense a hue as desired.
A base color with a glaze of a different color over it will turn a combination of the two colors. This can be done for different effects, such as to represent the transparency of skin. Historically natural pigments were not pure so mixing colors directly would sometimes produce a murky result; historic painters would solve this by laying down one color as a base and putting glazes of the other over it. You've probably seen this accidentally by slopping yellow over a black undercoat; with most paints yellow is translucent so this is effectively a glaze of yellow over black: usually the result is green because there is some blue in most blacks.
Anyway, a black glaze would evenly darken the underlying colors.
On the Vallejo web site, if you click on the Model Paints link to get to this page: link . . . there is a link for a leaflet PDF describing all the paints in the line with color swatches. In glazes they have white, verdigris, tan, brown, and black.
They also have glazing medium which can be used with other colors to make a glaze of that color. I can't tell you what the difference is between glazing medium and acrylic medium (which Vallejo apparently calls thinner), but most paint lines have both so there must be some difference.
