Currently there is no separate documentation on the Loop macro.
In the properties of the Loop macro you can specify how many times the macros, indented in the Loop macro should be executed.
For instance if you want to populate a table with the days of the week, then you need to use a Loop macro, then an Insert macro and Set macros. So the final macro would look like something like this:
Loop 7 Times
Insert into [table]
Set [Field1] to [Value1]
Set [Field2] to [Value2]