This ability allows jumping without damage at landing spot, no matter how far down you've fallen. With proper timing, a Heroic Leap at the end of a long fall can prevent falling damage. The Vengeance Demon hunter ability, [Infernal Strike], also prevents damage in a similar way, but most Demon Hunters just use [Glide] for going down.
It is useful for traveling over mountains, especially between areas separated by mountains, because you can jump up to ares that you can't climb and jump down far without taking damage. Be careful not to die at the top of a mountain.