Interpreting a single variant can be a lot more involved than just finding out its consequence. Sometimes to understand a variant, you need to know exactly where it falls, which exon, which amino acid, sometimes even which base in the codon. The VEP gives you all of this by default.
To really know what’s going on with a variant that falls in a coding region, you need to know which exon it falls in and which position in the cDNA, CDS or protein it falls. Whether it’s synonymous or missense, changes to the codon may be relevant in terms of about codon biases. For intron variants, you want to know which intron, for variants up- or downstream of the gene, how far away it is, so that you can evaluate the possible impact on regulation of the gene.
In all VEP output formats, this information is shown by default. For codons, the variant base is highlighted in bold on the web interface. For introns and exons, you can see which one the variant falls in out of total number of introns or exons. You can see this in the online tool, and in any of the files you would retrieve from the offline tool or by downloading from the online tool.