What does Dickens say has to be understood before the story of A Christmas Carol can be of any significance?

Right in the first four paragraphs of the story is the
answer to your question.  It is the fact that:

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Marley was dead.. . .Old Marley was as dead as a
door-nail.. . .There is no doubt that Marley was dead. This must be distinctly
understood, or nothing wonderful can come of the story I am going to
relate.

Dickens stresses that
this must be understood just as, in the play Hamlet, it must be
understood that Hamlet's father is dead.  The appearance of a ghost who relays what life
is like "on the other side," makes its appearance and subsequent request of the living
person (be it Hamlet or Scrooge), and this appearance is a life-changing
event.

Marley's Ghost will come from beyond the grave to
warn Scrooge of the terrible torments that await him if he does not mend his ways.  He
will send three Spirits to assist Scrooge in understanding why and how to change. 
Scrooge must believe all of these things if he is to save his own soul before it is too
late.

So, Dickens wants to assure the audience that it is
their ability (and Scrooge's) to believe in Marley's Ghost that creates the environment
for his (and the audience's?) amazing change of heart.