The same thing it means for any other vector field to be null.

A vector field is a mapping of vectors to events in spacetime; if the vectors mapped to some set of events (such as the set of events making up the Killing horizon of a KVF) are null, then the vector field is set to be null on that set of events.
It depends on the specific KVF you are talking about and what physical interpretation its vectors, or integral curves, have. See below.
You are misstating things here. The Killing horizon is the general concept. The Stationary Limit surface and the event horizon are two (different) particular types of Killing horizons, corresponding to two (different) particular KVFs. So asking what the motivation is for using the concept of a Killing horizon is getting things backwards; the general concept of Killing horizon is just part of the general concept of KVFs. What you should be asking is what is the motivation for looking at particular types of Killing horizons such as stationary limit surfaces or event horizons. See below.
Consider a region of spacetime in which a particular KVF is timelike. In this region, the integral curves of the KVF describe the worldlines of a possible family of observers, such that along each observer's worldline, the spacetime geometry is unchanged. (The "unchanged geometry" part comes from the definition of a KVF; the "worldline" part comes from the fact that the KVF is timelike.)
Now consider the Killing horizon for the same KVF--this is the surface on which the KVF is null. This surface evidently forms the boundary of the region of spacetime in which the above family of observers exists--on and "below" (i.e., on the spacelike side of) the Killing horizon, the integral curves of the KVF are n longer timelike, so they can't be the worldlines of any observers.
A simple example is the KVF ##\partial_t## in Schwarzschild spacetime (expressed in standard Schwarzschild coordinates). This KVF is timelike outside the event horizon, null on the horizon, and spacelike inside it. This means that, outside the horizon, there is a family of observers whose worldlines are the integral curves of ##\partial_t##. These observers are "hovering" at a constant radius and constant angular coordinates, and they are at rest with respect to the asymptotic inertial "rest frame" of the black hole at infinity (this is a heuristic description but it can be made rigorous). No other KVF in the spacetime has this property. The Killing horizon associated with this KVF is therefore a "stationary limit" surface.
However, as I implied above in describing the regions where this KVF is timelike, null, and spacelike, the Killing horizon associated with this KVF is also an event horizon, i.e., the boundary of the region of spacetime that can send light signals to infinity. Unfortunately, although we can say that the event horizon must be a Killing horizon (more precisely, the EH of a stationary black hole must be a Killing horizon--this was proved as a theorem by Hawking, IIRC, in the early 1970s), I don't know of any intuitive way to show precisely
which KVF's Killing horizon is the event horizon. You have to already know the global properties of the spacetime.
For example, consider Kerr spacetime again: here the stationary limit surface is the Killing horizon associated with ##\partial_t##, but the event horizon is the Killing horizon associated with ##\partial_t + \Omega \partial_\phi##. Showing that ##\partial_t##'s Killing horizon is the stationary limit can be done the same way as for Schwarzschild spacetime, above. But I don't know of any intuitive way to show why the event horizon is not that Killing horizon but a different one, and which one it is. (Since any linear combination of KVFs with constant coefficients is also a KVF, there are a infinite number of possible KVFs combining ##\partial_t## and ##\partial_\phi##, in both Kerr and Schwarzschild spacetime.) You just have to know the global properties of Kerr spacetime, derived by whatever tedious route you can derive them.