"Check Disk" does just that. It verifies the CF card inserted is properly formatted, has space remaining, and is responding properly to commands.
If it fails it will give you a very direct warning that there may be an issue with the card, at which point you can change cards until you have time to do more testing (e.g. format that card on a computer, clean the contacts etc).
If you turn "Check Disk" off and the CF card isn't working properly there is a chance the back won't notice it (since you've specifically instructed it NOT to check the disk). In such a worst-case scenario your images may not be correctly written to the card, and you may not even get a warning about it.
The ONLY reason to ever turn off "Check Disk" in my opinion is if you were in the middle of the desert with only one CF card, wanted to take a picture, and the back was warning you the card may have an error. In that case it would make sense to turn off "Check Disk" and accept the risk that the images you're shooting may not record properly, because in this crazy scenario you have only two options [give up] or [turn off "check disk" and accept the implied risk].
If the initialization-read-time on a large card is not suitable for your shooting needs I suggest using smaller cards, which will read much faster, or make sure you're using the latest
3400mAh batteries and turn the back to not power off as quickly when idle (the "check disk" only happens when you are turning the camera on).