In brief it means they never signed-up (using an OpenID).
When visiting the page for the first time (or just without being logged in in some way) one is at some places, in particular for answering and for asking question, also given the option to 'post as a guest' requiring a displayname and an email address.
If one does this an unregistered account is created and one gets a cookie as to stay logged 'for some time' so that one can possibly edit (ones own contribution), accept an answer, be responsive to comments, and so on.
By the design idea it is (as far as I understand) some one-time/short-term guest account.
Yet preserving the cookie one can also continue to use the site with the same unregistered account (also for a long time). I am not certain how it works in detail as I do not/did not use the site in this way, and if one can recover the cookie/the account via the email, but I do not think so. See this meta.SO question What does it mean when someone's an Unregistered User? for some information/confirmation of the above.
Unregistered accounts however are also different in other ways.
As you remarked they do not show up in the list of (registered) users and thus also cannot be found via searching there. Typically, though, you can find their userpage using a general search engine.
Also, they cannot vote (even if they have the points), they also have some more restrictions regarding deletion and possibly other things.