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I'd much appreciate if someone could explaing how rsyslog on server understands that this message is meant for it
Because it's sent to an IP address and TCP/UDP port that, on the remote machine, belongs to a socket used by rsyslog. I.e., it's the same way that, if you receive an envelope in the mail, and it has your name and address on it, you know it's meant for you.
and whether it needs to log it.
That depends on the server's rules, but, generally, a syslog daemon is expected to log everything it's sent.
I don't understand what <39> stands for in data either.
See RFC 5424 "The Syslog Protocol". In particular, see section 6.2.1 "PRI", which explains the first field in a message.
