Agent remembers the number of the last message it has retrieved from the news server.
It doesn't affect which messages Agent will retrieve the next time you contact the server. That way, you can catch up by retrieving, say, no more than 50 of the most recent messages per group. If you un-check it, they will all be shown expanded. Only threads that you've previously shown an interest in are expanded. This feature has been confusing a lot of our users, and we're looking at ways to make it simpler.