Where X is a regressor and Y is the dependent variable. I know that if E[XY]=E[X]E[Y] then X and Y are independent, hence uncorrelated but I don’t get what E[XY]=0 means.
I think this is a very fundamental confusion. $E[XY]$ means that the result of $X*Y$ should average together to be 0. Relevant operators are $E()$, which is average.
Implications can be very far reaching, but most notably is that (as mentioned above) if $E[XY] \neq E[X]*E[Y]$ then $X$ and $Y$ are not independent. It is a good mental exercise to attempt to see if you can construct a minimal working example of variables that are independent or dependent.