On a CP edit entry page there is a box for 'Notes about your changes'. I have entered text in there and saved the entry, but it doesn't seem show up anywhere. How does it work?
For my answer I am going to assume you are running Craft 3.
Notes are displayed in the sidebar:
When viewing the "Current" version of an entry, you can see the notes in the sidebar from when that entry was last saved.
If you go back through the version history of an entry, the notes in the sidebar will change to the notes left from the previous version of that entry.
You can also add notes to a draft version of an entry:
Once the draft has been published, the draft version will now become the "Current" version, and the notes from the draft should show in the sidebar.