Settlers are represented by a variety of vehicles, whether covered wagons or boats, that carry enough supplies to found a new Settlement. As a Civilian Unit, Settlers have no combat utility and cannot damage other Units. However, if a Leader wishes to successfully Conquer an enemy Town, they'll need to take a Settler with the Conquer Mission's army.
Establishing new territory is dangerous business, so it's important to take plenty of protection along with your Settlers. When establishing a new Town, for example, it's a good idea to send some Units along for defense once it's been established. Don't worry about taking "too many" Units: remember that you will regain 18 Unit Capacity once the Settler does their work, freeing up room to recruit more Units.