I have seen in this page which writes:
"In previous versions of EF the code was split between core libraries (primarily System.Data.Entity.dll) shipped as part of the .NET Framework and out-of-band (OOB) libraries (primarily EntityFramework.dll) shipped in a NuGet package. "
Question: What exactly out-of-band library mean?
It means new versions of Entity Framework are not shipped every time the .Net framework version is updated. It is shipped in separate packages so it can be upgraded more frequently than the .Net framework itself.
The other advantage is that you are able to use a new version of Entity Framework without changing the .Net framework version you're targeting (if it is supported, of course).