Scottish law does differ in some areas to English law but from my experience with English Law i will try to explain.
When stopped by the police they question you about an alleged offence.When the point comes that they believe they have sufficient evidence to prove that offence has been committed then the suspect must be cautioned. This informs the suspect that they may be arrested or reported depending on the offence and advises that they may say nothing further.Also replies given to the police after the caution can then be used as evidence in any future proceedings.
If the police did not issue the caution then any replies given would not be admissable in court.