Thermal shock: Put a glass beer mug in your freezer till it's all cold and frosty. Take it out and immediately pour boiling hot water in it. That is thermal shock in the extreme. (The beer mug may shatter.)
This property is important for glass used in incandescent and HID lights, or anything where you expect it to get quite warm if not downright hot. Imagine you are running your 50W incandescent and you get a sudden cold shower. You wouldn't want your glass lens to shatter, would you?
Polycarbonate is a type of plastic. I believe the brand name is Lexan. It has very good scratch resistance compared to other plastics. It is very hard. But at the same time, it is very tough, which makes it less likely to shatter than glass (good impact and thermal shock resistance). However, it will melt and burn under extreme temperatures (though you shouldn't be reaching those temperatures in a LED mod) and doesn't have very good thermal conduction properties.
I think polycarbonate coatings are used primarily to increase impact shock resistance of glass, while still maintaining a high level of scratch resistance.