Brief aside: the offense gets into the set quicker when Jrue Holiday is the one taking the ball up past half court (this isn't exactly surprising).
The basis of this play is to give the ball handler options. On a regular pick and roll, the ball handler will be in the middle of the floor, with a screener to his side and ideally three shooters split into the corners/wing (if not three shooters, then a someone in the opposite corner, on the wing and then a big man roaming the baseline).
However in this version of the pick and roll, Anderson and Davis are both lined up in the middle of the floor with the ball handler, forcing opposing defenders to make a split second choice to essentially pick their poison.