This statement is made in contrasting oligodendrocytes with Schwann cells. Both of these cell types are glial cells involved in myelination of neurons, but their morphology (shape) is different.
Oligodendrocytes in the CNS "reach out" with extended processes that then envelope axons as a myelin sheath. You could imagine an octopus reaching out arms that then loop around a stick. Like an octopus, they have multiple arms, and each arm can cover a different axon. The nucleus and other cellular machinery is located in the 'head' of the octopus.
Schwann cells in the PNS instead wrap around a single axon. You can think of them more like a fried egg, wrapped around a stick. The egg white is the myelination, the yolk is the nucleus. The outermost wrap is where all the other machinery of the cell is, and this area is called the neurilemma.
The actual presence/absence of the neurilemma isn't that important for the function of myelination, it's just a different shape of the cells.