The magazine disconnect is a safety feature which prevents firing the pistol when the magazine is removed. Personally, I think it's a good thing, but not everyone shares my opinion, it can be a controversial subject.
To see how it works, using an unloaded pistol, be sure to double check and make sure the chamber is empty, remove the magazine then pull the trigger, you will find it's disconnected and doesn't do anything at all. Again double check to make sure it's unloaded, then reinsert an empty magazine, pull the trigger again and you will find it cycles normally.