Toggling this on allows you to use fastboot to unlock your bootloader. This is needed if you wish to install a custom recovery like twrp (see also: recovery-mode) – for most devices a required step if you wish to install a custom ROM.
As pointed out: this toggle just permits you to unlock the bootloader – it neither does the unlocking itself, nor does it root your device or perform any other action. If you don't plan on any of the above described things, keep this toggle off. Note that the process of unlocking itself (not the switching of that toggle) on most devices performs an implicit factory-reset – i.e. it wipes all your data. This is a security measure.
This is a very useful feature: when enabled, you can use ADB to access your device for many purposes – including the most complete backup you can create without rooting your device, accessing the system logs, copying files to/from the device, and more.
The "security risk" involved with this switch is relatively low: on first access, you will have to "authorize" the requesting computer on your Android device – so an unauthorized person would need to unlock it (if the person can do that, it also can switch the toggle). You still can keep it off and only toggle it on when needed.
The links above are going to our tag wikis, I recommend you looking into them for further details. Another recommended reading is my article ADB for end-users (as pointed out, disclosure: I'm the author of that article, and that link goes to my own Android website).