What is this option.Who should be clicking this checkbox?
Salesforce introduced new API end point for authorizing requests for salesforce vendor and technology partners so if you are and existing partner and not a salesforce client you need to click this link. Also you in your API you configuration you will need to add additional endpoint so following
For example
https://odsdashboard.royalcyber.org/openAuthRedictHandler
https://odsdashboard.royalcyber.org/openAuthRedictHandler/vendor
...