Nofollow, sponsored and UGC
rel="nofollow" asks search engines not to pass ranking credit through a link. rel="sponsored" marks paid or affiliate links, and rel="ugc" marks links in comments and forums. Links without these are often called dofollow.
Google treats all three as hints, but paid links should always be marked sponsored or nofollow.
When to check
Check pages that link to you to see whether the link passes value, and check your own pages to make sure internal links aren't accidentally nofollow, which stops credit flowing between your pages.