Shapefile polygons are constructed from one or more closed rings. If a shape has multiple rings, they can be exterior and interior (e.g., form a doughnut), or multiple exterior (e.g., island chain).
[![enter image description here][1]][1]  

Of course, having multiple exteriors doesn't prevent having one or more interior rings on each shape.  The shapefile specification does state that:

 1. Exterior rings must be clockwise, while interior rings must be counter-clockwise (this convention is known as *right-hand rule* since the shape would always be on your right-hand side as you walk the perimeter)
 2. Interior rings must always follow the exterior ring they partition
 3. Neither exterior or interior rings may overlap *or* share a common border (such features *may* be populated, but they are ***invalid*** and may cause *strange* geoprocessing failures).

Shapefiles do **not** make a distinction between these objects -- they are all polygons.

However, some tools **do** make a distinction, QGIS being one of them.  If all you will *ever* have in a shapefile is simple **one-ring** shapes, then you can safely choose Polygon. If the shapes *may* contain "holes", it is *also* safe to choose Polygon.  If, however, *some* shapes may contain ***multiple exterior rings*** then you need to choose Multipolygon.


  [1]: https://i.sstatic.net/ggFOB.jpg