Normally the .mds file contains the type of disc you used as source. (DVD/Blu-ray/CD).
It also holds the layer break if it's a DL DVD.
Other than that it holds the source file .iso name. If you are using FAT32 it also holds the including split 1 GB chunks files.
When you use Build mode and get no .mds file - you probably just created a single layer disc.