You turn off all set specific check options (set = collection of roms and/or samples and/or chds.....so you turn off all checks which work on the folder/archive itself. The rom checks work on the files within the folder/archive). When turned off you will e.g. not notice if the set was renamed in a future dat (I admit this is only very rarely happening for artwork based dats, but still it already happened with them).
So turning this off is in my opinion not a good workaround for a wrong storing method.
Why is there an option, well, because cmpro got an option for everything
From 1997 onwards it had the ability to turn on/off any possible check/fix since some advanced users required this. The normal use case is to use the default settings (which includes enabled sets/roms/samples/chds checks).
The storing method originally comes from MAME. Well, artwork dats are - compared to MAME sets - different, since they put all files into 1 set. But still the 2 storing methods should be followed to audit them. Keep in mind that everything found in a rompath which does not belong to a set is unneeded, that's why you should separate your profile's rompaths.
If you keep them decompressed or compressed is fully a personal taste.
Last but not least you need to keep in mind that when it comes to filenames and paths generation (e.g. when fixing or reading files), cmpro will generate rompath\setname\ or rompath\setname.zip(.rar/.7z). So if you don't follow the storing methods you will end in chaos sooner or later...
