I can think of image location references as well as references to the corresponding preview files and Lightroom proprietary image metadata are held in the catalog, but I doubt that develop settings are there because either xml files directly alongside the images are used for that or development settings are stored in the dng files themselves. And for presets etc. Lightroom uses files in the filesystem. So what exactly is in the catalog?
Unlike ACR, Lightroom does store all edits in the catalog, not xmp or the dng.
But there's an option in the preferences to "automatically write metadata to xmp" (in addition to the catalog). This slows Lr down a little, though. You can also do it manually by hitting ctrl/cmd + S.
Everything you do to your photos in Lightroom is in the catalog.
Furthermore, there are some organisational matters that the Catalog holds, which are wider in scope than any image taken in isolation. Most critically, the Catalog discriminates which image files you have chosen to import, and which you have not imported (or have since deliberately removed).
Each Catalog has some workflow settings of its own - so one Catalog may be set to write XMP out to the files automatically, and another not to do so. Of course, the Catalog conveniently stores the last view and workspace that you had for your library, including any filtering, stacking or custom ordering of the images.
Each catalog holds a list of keywords (regardless whether these have been used or not) each with nesting, synonym and other properties.
Each Catalog provides Collections, Smart Collections, Print Collections etc which have no existence outside that Catalog.
Each Catalog can maintain Publish setups, collections, smart folders, and ongoing change-tracking relationships with external image copies either locally or online.
The same for remembered print settings of each image, page setups, softproofing settings etc
The same for Virtual Copies along with all their text and develop metadata - these are treated within the Catalog (only), as fully functional images in their own right. But if you go to the folder on disk, there is nothing to see of these whatever.
Some people put quite a lot of effort into settings which are in fact available outside LR and its Catalog, because they are "shared" with ACR. This includes processing defaults, lens and camera calibration profiles. Also some LR settings saved via a given Catalog, are centrally stored by default, so available to other LR Catalogs: chiefly develop presets, import or export presets, and the like.
Edit: I forgot one of the most important: a History of the steps carried out, giving access to all the different states that the image has passed through.
... but I doubt that develop settings are there because either xml files directly alongside the images are used for that or development settings are stored in the dng files themselves.
The saving to xmp or in the file (-headers) themselves is optional and in addition to the saving in the catalog.
Lr saves everything you do in its catalog, including the develop settings, and this saving in the catalog is automatic and instantaneous.
In addition to the catalog you can also save edits to xmp or to the files. XMP files are written in the case of Raw files, and in the case of JPGs, DNGs, TIFFs, PSDs the edits are written into the file headers (not into the image pixels!). This saving to file is not automatic; it is an option that you have to select - either by checking <Automatically write changes to XMP> in Catalog Settings, or by doing Ctr. / Cmd. + S, or by >Metadata >Save metadata to file. Without doing any of this, Lr saves to the catalog only.
Saving to file is an option that is not necessary for Lr to function; Lr will always use the catalog to display your images - unless you force it to <read metadata from file>.
Saving to file is an option that makes it possible for other Adobe products (for instance Bridge) to display your Lr edits.
Be aware that not everything can be saved to file: collections, virtual copies, stacking are only saved in the catalog.
For these reasons you should safeguard the catalog in the same way that you safeguard your image files. Make yourself familiar with the name and location of the catalog.
Do regular backups of your catalog.