Answer
This is an option for some file types: *.gpx (GPS Exchange files), *.kml and *.kmz (Google files). Normally these files are saved in the UTF-8 format. If you don’t encounter any problems, leave the preference the way it is (checked).
There are some applications, however, that are not able to handle these file types in UTF-8 format, e.g. POIEdit. If you want to use one of the file types mentioned in such an application, uncheck the preference before saving the file. The file will be saved in ANSI format.
But you have to realize that the ANSI format has less possibilities than the UTF-8 format. Therefore, if you use ANSI instead of UTF-8, you may get error messages from Google Earth or other applications.