A research classroom is a normal classroom with consent tracking attached, plus a structured export of the data. You need one when your study requires recorded informed consent from participants.
Creating one
Click the + next to Classrooms in the sidebar, name the classroom, then turn on Research Classroom before you create it.
What it adds
Students are asked for informed consent when they join.
You can see who has consented and who has not.
A structured export of the classroom's data, for analysis.
What you do not need one for
You do not need a research classroom to read your students' chat history. That is available in an ordinary classroom. See How to view student chat history.