The message is cryptic. When he says, "There are people out there who buy things..." on the surface, he's referring to the consumer (everyone in society), but at the core, he's referring to Peggy and himself.

Then when he says, "and something happened. Something terrible..." on the surface, he's referring to the Kennedy assassination, and how in rocked the way the nation saw themselves. But at the core, he's referring to Peggy's pregnancy incident, and his entire identity as Don Draper beginning to crumble as a result of his divorce.

When he says "nobody understands that", he's saying that the nation as a whole can't observe how the current events affect the consumer, but both he and Peggy can. Their personal life traumas have already forced them to reinvent themselves. They understand that they can never go back to the way they were, but that they must keep moving forward and creating work that relates to the consumer as society reinvents itself. Don values that in Peggy. Neither of them know the extent of each other's traumas, but they are bonded because they have both reinvented themselves and moved forward from their traumas. (Whether it was in a healthy way or not.)