If you write a program to generate a series of points that represent a sinusoid (whether you use MathScript to generate the points or the LabVIEW Function Generator VI), you have an array of numbers that, if you plotted them, would look like a sinusoid.
What you want is a sinusoidal voltage, which means you need to turn those numbers into volts (or some other physical quantity). DAQ stands for "Data Acquisition" (where "acquisition" is broadly interpreted to mean both Data In (to the computer) and Data Out (from the Computer). DAQmx are a series of VIs that handle connections between LabVIEW data (i.e. an array of numbers) and hardware that turns these numbers into physical quantities (like your myDAQ turns the numbers into voltages).
So the purpose of DAQmx Write is to take an array of numbers, say representing a Sinusoid, and send them to a particular physical device (AO1, say) at a particular frequency (or sample rate), say 1KHz.
Does this clarify the concepts?