I am still not sure If I wish to upgrade to macOS Sierra, If I will upgrade it will be caused only by the fact that macOS Sierra should fix some security vulnerabilities , therefore I would like to understand more deeply what type of security vulnerabilities does it fix?
All security fixes in Sierra 10.12.0 compared to the latest El Capitan release 10.11.6 are available here:
As far as I know most or all of the vulnerabilities are still unfixed in El Capitan and Yosemite. Usually a Security Update for the prior two systems is released at the same time as the new system comes out - not this time.
To get an impression of the severity of the vulnerability you can look up the CVE-number in different databases like CVE Details, National Vulnerability Database or Common Vulnerabilities and Exposures.
IMHO the former are more informative for laypersons because they provide a vulnerability scoring (CVSS3/CVSS2) (like a traffic light food labeling system) and vulnerability types. The first one also lists already available MetaSploit modules.
Example: apache_mod_php.so CVE-2016-6290
Explaining each vulnerability in detail is far beyond the scope of an answer here.