If you are new to RAD Studio and Delphi or you are a long time user these videos will help you setup and configure each of the platforms supported by RAD Studio and Delphi. The platforms supported by VCL apps are Win32 and Win64. The platforms supported by cross platform FMX apps are Android, iOS 32, iOS 64, iOS Simulator, macOS, Win32, and Win64. You can quickly build and deploy a single code base and single UI using FMX to all of these platforms.
The Platform Assistant server (named paserver) is a command-line application that can be installed on Windows and OS X. You install the Platform Assistant on a remote system, in the same network as your development system, to let RAD Studio interact with that remote system, so that you can develop cross-platform (multi-device) applications for OS X, iOS, or Win64 (this last from a Win32 development system).
For Android development most of the time you will have your Android device connected to your computer via a USB cable. For iOS development most of the time you will have a PAServer application running on a macOS machine which will have an iOS device connected to it via a USB cable. For macOS development most of the time you will have a PAServer application running on the macOS machine and deployment will be direct. For Windows development most of the time your app will compile and run directly on Windows but there is also the option of having the PAServer application on a different Windows machine.