Similar to how beta-weighting is often applied to deltas as a way to standardize measures of directional exposure despite different average percentage ranges, vega-weighting can factor in how securities with different IV% (implied volatility) should be expected to have wider or narrower ranges. As a refresher, implied volatility is the expected percentage move over a year–based on options prices–with 68.3% confidence.  

Likewise, different maturities across the term structure (comparison of IV to time) can be vega-weighted to account for whatever the reason may be for the different IV amount between separate dates, such as one having event vol (amplified IV because of earnings or proximity to a major economic event such as an interest rate announcement). 

The result of summing different positions with vega-weighting establishes aggregate risk based on the implied movements of each position. In other words, securities with higher volatility get a smaller weighting as a way to give less size to the more dangerous holdings in a portfolio.