CA stands for certificate authority. A CA is the company that issues SSL certificates. Browsers and phones come with a list of CAs they trust, and a certificate from one of them shows the lock without a warning.
Before it issues a certificate, the CA checks that the person asking controls the domain. For OV and EV certificates, it also checks the organization. The free certificate on every Simple Source plan comes from a trusted CA and is requested for you, so you do not need to choose a CA or send it anything.
More: SSL certificates explained and Get a free SSL certificate.