Each class that derives from UObject has a singleton UClass created for it that contains all of the meta data about the class instance. UObject and UClass together are at the root of everything that a gameplay object does during its lifetime. The best way to think of the difference between a UClass and a UObject is that the UClass describes what an instance of a UObject will look like, what properties are available for serialization, networking, etc. Most gameplay development does not involve directly deriving from UObjects, but instead from AActor and UActorComponent. You do not need to know the details of how UClass/UObject works in order to write gameplay code, but it is good to know that these systems exist.