This is a new custom object (so you are able to add and remove these objects) that has been added to facilitate the integration with State and Country/Territory Picklists. The default list of EDQ State Settings, much like Salesforce State picklists, is not conclusive, and states that are returned by Experian address API but are not in either list by default, can be added to both. How the corresponding EDQ State Setting and Salesforce State Picklist state item relate are detailed in the "Northern Territory" renaming example here: State and Country/Territory Picklists configuration.
It has its own tab accessible via the App Launcher Icon. The tab shows all the State settings configured when viewed with the All list view.
The State Setting object consists of:
If you are missing any of the fields above, see the steps detailed here: Troubleshoot > I'm missing fields from the EDQ State Setting Object
To create a new EDQ State Setting object:
If a State Setting entry is created where the Integration Value field does not correspond to an existing state entry in the Salesforce States picklist for the associated country, then when a user saves an address for that state the save operation fails. An error message will be displayed.
Are you using Translation Workbench?
If you wish to change the label for the State in the picklist and for this to appear in the EDQ components, follow the steps detailed here: State and Country/Territory Picklists configuration.