What does it mean if you don't get a callback?

If you don't receive a callback, that doesn't mean you won't be cast in a great role. It just means the directors gathered enough information during your initial audition to cast you without seeing you again.

What does it mean when you get a call back for an audition?

A callback means that the director would like to see an actor again, perhaps to hear them read from the script or see them next to another actor. Receiving a callback does not guarantee you a part in the show, and not receiving one doesn't necessarily mean you won't be cast.