n,l,m are the triplet of numbers you can select in the top right. They're called quantum numbers, and they describe the state of this particular system, in particular the state of the electron.

Basically: n is how much energy the electron has (the higher, the further from the nucleus). l and m further describe which orbital the electron is in; l is related to the electron's angular momentum, m is related to its angle to the x-y plane in this visualisation. Only certain combinations of these numbers are allowed by physics (angular momentum, l, has to be smaller than energy, n, for example). n,l,m together describe the state of the electron inside the hydrogen atom.

So what are the dots? Basically, they're meant to represent a cloud. Where the cloud is denser, the electron has more measure; the electron is more there than in other places. Practically speaking, if you made a measurement to see where the electron was, your results would probabilistically correlate with the density of the cloud. The process whereby the electron goes from being a probabilistic cloud to a point particle interacting with your test particle back to a probabilistic cloud is called 'wave function collapse' in the Copenhagen interpretation, or, more generally, 'magic'.

(Or it's just how the universal wavefunction's branches look from the inside.)

A volume integral would be unitless, by definition: the value of the square-absolute-value of the wavefunction at any point (what's represented by this graph) is the probability of finding the electron at that point per cubic metre. A volume integral from negative to positive infinity in x, y, and z gives 1 (no units).