What is sense terminal/pin in differential amplifiers?
As @Tyler pointed out in comments, this question has already been answered to some degree.

The short answer is that Sense is connected to Vo at its point of termination, or point of use, which could be inches away from the IC. The Sense pin detects voltage drop or inducted noise picked up by the Vo trace and cancels them out.

This way the end point of Vo has a clean and accurate signal. Of course Vo has a limit to its length of which the Sense pin can compensate. I would keep Vo under a few inches at most, and very short if near digital ICs.

EDIT: To clarify use of the Sense pin. Under normal circumstances the sense pin can be tied to the Vo pin at the IC. The Sense pin serves its purpose in circuits which need ultra accurate DC measurements or ultra low noise. If it was never needed it would not exist as an external pin.