It controls the response of the auto gearbox.
In the centre (no dash light) it works as you would normally expect from an auto, with the gearchange point being flexible depending on how you are driving.
If you push the switch forward to illuminate the "PWR" indicator it will keep the gears as low as possible, and not change up until later to ensure that you have maximum power available without having to kickdown.
Pushing the rear of the switch to illuminate "HOLD" locks out 1st gear, so that you pull away in 2nd. It also changes up as early as possible in the rev band, to reduce wheelspin on bad surfaces. (Try switching it off as you pull away - you'll feel it drop back into 1st).
Alaric.