Escrow is money held by a third party until it is due. On an American mortgage the word nearly always means the escrow account, which some lenders call an impound account: the CFPB describes it as an account your lender sets up to pay certain property expenses, chiefly property taxes and homeowners insurance. Lenders often require one, and some laws do too.
It works by spreading annual bills across the year. Suppose your property tax is $4,400 and your insurance premium $1,500. That is $5,900 a year, so about $491.67 is added to each monthly payment and held until the bills arrive. When the tax or the premium changes, the servicer recalculates and your monthly payment moves with it, even on a fixed-rate loan. This is why the payment on an American mortgage statement is usually larger than the loan's principal and interest.
The same word has a second use during a purchase. Before closing, your good-faith deposit and other funds are often held in escrow by a title company or attorney until the sale completes, and the first months of tax and insurance for the new escrow account are commonly collected at closing as prepaid items. Those amounts sit among your closing costs, not in the monthly payment.
Most other countries have no such account. In Britain and Australia you usually pay council tax or council rates and buildings insurance yourself, separately from the mortgage.
The mortgage calculator builds the American monthly payment the way an escrow account does: principal and interest, plus one twelfth of the yearly property tax and of the insurance premium, with the monthly cost table listing each part so you can see what the servicer collects and why.