Winterization is a cleaning step that strips waxes, fats and lipids out of an extract. They end up in there during extraction along with everything else.
How it runs: the extract is dissolved in ethanol and frozen. In the cold the waxes and fats crash out and float up as a haze. That gets filtered off and the ethanol is evaporated away.
You can see it in the result. An unwinterized extract is cloudier and holds its consistency less well — a white haze shows up in it over time. After winterization it is cleaner, clearer and more stable.
The downside: some of the terpenes leave with the waxes. That is why winterization is sometimes skipped on purpose for extracts built around flavour.
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