The spending key is currently available only for sapling zaddresses. It gives the user control to export a zaddress into any wallet. It gives the user the ability to spend zcash from this zaddress once the wallet has been sync to the block chain.
Remember anyone who has this spending key has control of that zaddress.
In case of using ZECWEB.com online wallet just because you export the spending key, the spending key is still in the online wallet until the wallet is deleted.