What's the deal with the alien 'scan wave' event in combat?

This is your soldiers hearing enemy movement. It indicates (in general terms) where the aliens are.

I've found from experience that usually only the closest soldier to the aliens will get this "hearing" event, and only if the aliens are moving on their turn. The aliens tend to mill about even if they're not actively patrolling, but not as often.

It just means that your soldier can hear movement in that direction. Usually when this happens I start moving squadmates nearer to the soldier that heard the alien, somewhere with good cover and nearby.

If you have no visible aliens, you can also reload / hunker down / overwatch in the next turn to make sure you're protected from an ambush and ready to engage, as well as get all your soldiers ready with both actions before you advance one to discover the aliens.

In the older games it would sometimes get very frustrating if there was just one alien alive somewhere on the map. This feature gives you a hint about the direction. It only indicates general 2D direction (you can't tell if they are on a level above or below you) and it is always the same size, so they might be 2 screens away, or the might be just on the other side of the wall, out of sight.