A challenge with the screw-in filters is that using multiple filters (stacking) doesn’t work well. Typically, placing more than one filter at the time will result in noticeable vignetting.
That’s where the Square Filter System comes in: instead of screwing it directly on the lens, it’s placed in a filter holder. The filter holder is attached to the lens and typically has two or three slots where you can place different filters. This makes it possible to use both Neutral Density Filters and Graduated ND Filters simultaneously.
Square Filters are a considerably larger investment though; in addition to the filters, you need the filter holder and adapters.