What is the meaning of V\U?

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What is the meaning of U \ V when it comes to graph?

I try to understand Markov property on DGM with below document but for me it is hard to search.

http://web.engr.illinois.edu/~swoh/courses/IE598/handout/markov.pdf

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It's just a set difference, that is, if $V$ and $U$ are some sets, then

$$V \setminus U = \{ x \in V \mid x \notin U \}.$$

Note that in your case the set of all nodes $V$ can be though of as universe, that is all other sets of nodes are contained in it. In such case $V \setminus U$ can be understood as a complement of $U$ with respect to $V$.

Finally, note that $U \setminus V = \varnothing$ for any $U \subseteq V$.

I hope this helps $\ddot\smile$