To amplify what Rich said.
If you shoot raw + jpeg, and check that box, you end up with 2 copies of all your pictures in the grid view: both the jpeg file and the raw file are displayed. If you leave this unchecked, you'll see only the raw file, labeled (in LR) as raw+jpeg. The documentation says the jpeg gets imported as a "sidecar," but to be honest I can't figure out what this really means, since LR doesn't actually seem to do anything with the jpeg at all.