Nightly is for language features of Rust that are still being tested or experimented with. It should only be used by developers who are eager for the latest bleeding edge capabilities and are willing to adapt if those capabilities change or get dropped entirely. Or you might use nightly if you're a good citizen and testing out the experimental capabilities so that you can give feedback on them.
A later version of nightly could potentially change or drop the features of an earlier version of nightly in ways that are not backwards compatible. That's why you might have to specify which version of nightly you need (potentially an older version), if you're building something that depended on nightly features.