When should I check that box and what does it do? 

When you create a label your delivery address is checked against the United States Postal Service's database. This verifies that the address you are sending your letter to is a valid, deliverable location. When you check the box next to "turn off address verification" this will bypass that process. The only time you want to check that box is when you are sending a letter to an address that is abnormal.

For example:

Department of the Treasury
Internal Revenue Service Center
Fresno, CA 93888-0099