The Expand feature works the same (on a line or path) as the Object > Path > Outline Path.
It takes the line and outline it into an editable shape as shown by the blue highlighted path.
Here is a quick over view of the 4 states; shown in Normal View Mode and then in Preview Mode to compare.
2: Line with ZigZag Effect applied
3: Line with the Expand Appearance applied
4: Final Expanded or outlined Line.
That should shed some light on the matter of Expand Appearance, Effects, Expand and outline commands.