Well, HDCP stands for High-bandwidth Digital Content Protection.
This protocol is formed to protect digital audio and video content from being copied and distributed as the signals travel through connections (for example HDMI, DP, and DVI) to devices.
Hence, if the content you are playing is HDCP-encrypted and the receiver like an AVR or an HDTV does not support HDCP, the a/v signals could be rejected and fail to show themselves on your screen.
Most commercial copyright content (especially 4K content) is protected by HDCP, such as Netflix, Roku, and programs on set-top boxes like Apple TV. However, HDCP is almost unusual in video gaming.
If you are a movie lover, make sure the devices you buy for the setup are HDCP-compliant.