The valve has a bad spot on the sealing ring, like a notch or chip, that allows the combustion gases to escape. More typical on the exhaust due to the higher temps. Refering to a burnt valve is refering to the way the bad spot was created. As in a spot was burned in the edge of the valve.

But there are other things that can cause a valve not to seal properly and allow the loss of some or even all compression on that cylinder.