Though this appears as an outer-level "script section", Include is just a simple statement to allow a script to include other scripts. This capability is provided to make it easier to maintain common elements that several scripts share. Examples would be common Data Section items, a frequently used Import definition, or even a Strategy (e.g. an index benchmark) that you often add to other strategies in a script.
Several of the Example Scripts that are based on mr_sample.rts illustrate the use of Include:
This example includes the entire original script and then adds a SPY benchmark to it.