According to the docs GraphicMagick may be compiled with the --with-modules option to "enable building dynamically loadable modules". Simply, why would one want to do this?
Using modules decouples GraphicsMagick from many of the add-on libraries. It provides the opportunity to add new formats to GraphicsMagick without modifying GraphicsMagick itself. Since much less code (shared libraries and coders) are loaded into the running application, on some systems there is considerably less overhead when executing the 'gm' utility. The performance improvement is operating system dependent and on some systems it is actually slower.