Supongo que estas siguiendo este tutorial.
http://zetcode.com/wxpython/layout/
Donde claramente explica que es para darle espacio.
Cita: We already know that we can control the distance among widgets by combining the flag parameter with the border parameter. But there is one real constraint. In the Add() method we can specify only one border for all given sides. In our example, we give 10px to the right and to the left. But we cannot give 25 px to the bottom. What we can do is to give 10px to the bottom, or 0px. If we omit wx.BOTTOM. So if we need different values, we can add some extra space. With the Add() method, we can insert widgets and space as well.