Integrated graphics are built into the processor. A dedicated card is separate hardware with its own memory and power. Integrated graphics are considerably more capable than their reputation suggests, within limits worth understanding.
The real differences
A dedicated card has its own memory with far more bandwidth than system memory, its own power budget measured in hundreds of watts rather than the few available inside a processor package, and vastly more processing units.
Integrated graphics share system memory with everything else, which both reduces available memory and creates contention for bandwidth. This is why memory speed and dual channel operation matter so much more on a machine relying on integrated graphics.
What integrated graphics handle well
Desktop work, multiple displays, video playback including 4K, and hardware accelerated video decoding. For an office machine or a media machine, integrated graphics are entirely sufficient and a card would be wasted money.
Light and older gaming works at modest settings. Recent demanding titles do not.
Two practical reasons to want them anyway
Diagnosis. If a machine with a dedicated card shows no display, being able to remove the card and connect to the motherboard immediately separates a card fault from everything else. On a processor with no integrated graphics, you need a spare card to do that.
Continuity. If the card fails, integrated graphics keep the machine usable while a replacement arrives.
Memory configuration matters more than usual
Because integrated graphics borrow system memory, memory configuration affects graphics performance directly in a way it does not on a machine with a card.
Two modules rather than one is the single biggest factor. Dual channel roughly doubles the bandwidth available, and the difference in a machine relying on integrated graphics is large rather than marginal. A single-module machine can be half as fast in graphics terms as an otherwise identical two-module one.
Memory speed matters for the same reason, more than it would on a machine with a dedicated card. Enabling the EXPO or XMP profile is worth doing on any machine and is worth more here.
How much system memory gets taken
Integrated graphics reserve a portion of system memory for their own use. On modern systems this is largely dynamic: a small amount is reserved at startup and more is allocated as needed.
Practically, a machine with 8 GB running integrated graphics has meaningfully less than 8 GB available to the operating system and applications. This is one of several reasons 16 GB is a better starting point.
Some firmware lets you set the reserved amount manually. Raising it rarely helps and can hurt by reducing what is left for everything else. The automatic setting is usually correct.
A processor without integrated graphics and no card fitted produces a machine that powers on and displays nothing. This is a frequent and confusing first-build outcome. AMD and Intel processors with an F suffix generally have no integrated graphics; the PC Builder flags this combination.