MKV is a popular container for downloaded or ripped video because it can hold multiple audio tracks and subtitle streams, but it isn't natively supported on iPhones, iPads, or by QuickTime, and plenty of Android phones and smart TVs choke on it too. Converting to MP4 gets you a file that plays back natively almost everywhere. Note that only the primary video and audio track carry over, so separate subtitle or secondary audio tracks inside the MKV are not preserved.
A container built to hold everything
Matroska is deliberately open-ended. One MKV can carry several video tracks, a dozen audio tracks in different languages, any number of subtitle tracks, chapter markers, cover art and attached fonts, all in the same file. That flexibility is exactly why it is the format of choice for archived films and why so little consumer hardware will play it.
MP4 is stricter. It was standardised around a narrower set of things, which is what makes it universally supported and what makes this conversion a question of what gets left behind.
What survives the move
The video and the primary audio come across, and if they are already H.264 or HEVC with AAC, they come across without being re-encoded, so nothing is lost in picture or sound. Chapters and secondary audio tracks may not survive depending on the source.
Subtitles are the usual casualty. MKV commonly carries them in formats built for styled, positioned typesetting, and MP4 has no equivalent, so a file whose subtitles were burned into the container can arrive without them. If subtitles matter, extract them before converting and supply them as a separate file alongside the MP4, which is how most players expect to find them anyway.