I believe the What's New screen is if you get a message or missed phone call and you are at the lock screen, you pull down instead of up and it shows things like messaging and phone calls. There is also a box widget that can be put on the home screen with the icons to show missed messages and calls. Look in your widgets for What's New and you will see it.
I think that is the What's New app... Might be wrong, but I think that is it..