Relevance search uses Azure to index your CRM data. This means that you are exposing the data to a service external to your CRM instance, so you need to take that into account before you enable Relevance Search. You may have entities and fields that you do NOT want to expose this way because they contain confidential information.
More information can be found in this TechNet article, which says:
“We strongly recommend that you configure the entities and entity fields participating in Relevance Search before you enable the search, to prevent sensitive data from being indexed in a service external to Microsoft Dynamics 365 (online). “
On a global basis, Relevance Search is enabled in System Settings. The user selects it in Personal Options -> General -> Search Experience.