Musicality is dancing the dance to the music, and not just counting the steps in your head. It's about being able to extend lines to the very last count on 8 and being able to gracefully transform into the next move without losing timing. This can be achieved by feeling the music, feeling natural and of course having natural rhythm.
This is Sophie and Brendan's foxtrot (just using this as an example because I remember Bruno pointing out the musicality)
https://www.youtube.com/watch?v=0yKgabkdkcw
Skip to 00:43:
Watch as the word "charm" is sung. The song goes "CHAAAAAAARM" with stress on the 'a' sound. Sophie and Brendan (she stumbles a little, so maybe watch Brendan) take the step for as long as the 'a' sound is being sung and then brings the other foot to finish the 'rm'. The ability to take longer to go into the step because the 'a' is sung longer than the 'rm' is called musicality. The rise and fall also fits in with the music.
At 00:50 (while the word "through" is being sung), watch as they're both turning their heads but turn them slow enough so that they are turning them at the same pace that the word "through" is being sung. The word then fades out (if you can say that - maybe think about movie credits for this, maybe) and they gently end their head turn.
(I hope that helped - it's so hard to explain through text).