This is a very valid question as clearly the gluteal muscles are quite a distance from the patella! However, if we think about the patellofemoral joint as the knee cap resting against the groove underneath, the relative position of both these bones is important.
The groove under the knee cap is actually the end of the femur, (thigh bone). We therefore need to look to the gluteal muscles to stabilize and control the position of the thigh bone, and hence the groove.
The gluteal muscles are a group that has differing individual roles. One of the important aspects in PFPS is to ensure the groove is not spinning in away from the patella. This is undesirable as it causes excessive pressure under the outer half of the joint, (for more on this see my blog on why does my knee hurt when my scan is normal).
In other people the femur is not spinning in but the control of the pelvis on femur is poor. The problem with this is twofold. The wobbliness that ensues is transferred down to the knee, and in an attempt to stabilize the limb, other muscles will often try and help out, resulting in them getting tight, (for more on this see my blog on why has my physiotherapist told me to stretch).
So if your physiotherapist has advised you to do gluteal exercises make sure you understand which ones and why.