Context-free grammars, as well as other types of grammars, can naturally associate structure with the strings of the defined language, for example tree structures in the case of context-free language.
What kind of structural features can be thus described by regular grammars, and associated with the strings of the language.
One answer is of course that it can associate a non-terminals with each prefix (or suffix) of the string. That sorts the prefixes (or suffixes) into sets that may intersect, depending on the grammar. But what else would you see?
related question : Why CFG can specify structure of sentence but Regular grammar cannot?