Thievery lets the player steal items from NPCs and unlock chests and doors. As you progress doors and chests will require higher level Thievery to break open.
Thievery in DOS:2 when it comes to stealing from NPCs is..unique, to put it kindly. You may only steal from an NPC once per character per save file, so say you steal something from Gawin in Fort Joy with your main character, you can never steal from him again using your main character. In addition to the limit of stealing per character there is also a limit of weight and value in items you can steal from an NPC and this limit starts extremely low with only one point in Thievery making it not a suggestible action to take early on in the game.
If you intend to rob these NPCs before you leave Fort Joy or get into the Hollow Marshes you should try to put a decent amount of points into Thievery, one or two should be good, and then acquire as many Thievery boosting items as you can before stealing from them.