Aurelius keeps the same instance of an entity across he whole manager.
Suppose you have a TCustomer with id 10. There will be only one instance of a TCustomer object with id 10 in the manager.
But of course, you can have many references so such object. You can have many list items pointing to the same instance, or other object associations pointing to that instance.
Remove Duplicated Objects will remove list items that point to the same instance. You might have list item 0, 1, 2 and 3 all points to the same TCustomer with id 10.
That is mentioned in the doc:
This means that if an invoice has two or more items with price equals to 20, the same TInvoice object will be returned more than once in the result list.