A positive integer $n\gt 1$ is not prime if and only if there exist positive integers $a$ and $b$, $1\lt a\lt n$, $1\lt b\lt n$, with $n=ab$.
But now notice that we cannot have both $a$ and $b$ greater than $\sqrt{n}$. Why? Because if $a\gt\sqrt{n}$ and $b\gt\sqrt{n}$, then $ab\gt\sqrt{n}\sqrt{n}=n$. But $ab$ is supposed to be equal to $n$. And we cannot have both be strictly less than $\sqrt{n}$, because then $ab\lt\sqrt{n}\sqrt{n}=n$, again a problem.
In other words, whenever you express $n$ as a product of two positive integers, you must have one less than or equal to $\sqrt{n}$, and the other one be greater than or equal to $\sqrt{n}$.
So if you are looking for proper factors of $n$ (positive integers $a$ such that $1\lt a\lt n$ and $a$ divides $n$), you only have to look for them up to $\sqrt{n}$: if you don't find any between $2$ and $\sqrt{n}$, then there are none to find.
Of course, because any such factor $a$ must also be the multiple of a prime $p$, $p\leq a$, in fact you only need to check the primes that are between $2$ and $\sqrt{n}$ to see whether $n$ has a proper factor. If $n$ has a proper factor, then there will be a prime between $2$ and $\sqrt{n}$ that divides $n$. If no prime between $2$ and $\sqrt{n}$ divides $n$, then $n$ has no proper factors, so $n$ will necessarily be a prime.
That's what (one of the implications in) the theorem is telling you.
You are also misidentifying the premise and conclusion. That's because the premise is itself an implication.
The premise is:
If $p$ is a prime and $p\leq\sqrt{n}$ then $p$ does not divide $n$.
The conclusion is:
$n$ is a prime.