I don't understand when to unselect Data, Display and Current Page on constructing our bookmark
You unselect data when you don't want to save the data in the current state. For example we make a bookmark to clear filters so we create a bookmark that remembers the whole dashboard without any selection on any visual and any slicer. This is the data bookmark ticked. Every time we pick up that bookmark the dashboard will return to its default state. Display is a bookmark for a certain visual such as what we do with the hidden menus when we have display ticked it means that something will pop up when we select the bookmark. And Current Page bookmark allows users from other pages to switch to the current page.