What does $CS - CF$ means?
You understand this correctly. the set $CS - CF$ denotes the strict difference between these two levels of the Chomsky hierarchy. If you are reading this in a textbook, you will soon learn that $CS-FS \not= \emptyset$, that is, context-sensitive grammars are strictly more expressive than context-free ones. For example, context-sensitive grammars can count, whereas context-free ones, not so much: the language $\{a^nb^nc^n | n \in \mathbb{N}\} \in CS-CF$.