Hi David,
when this option is not marked and an e-mail is sent from a CRM user as tracked to another CRM user, the recipient will see this as tracked only for a short period and then tracking will be removed, as we are not tracking the incoming e-mail.
Having this checked will create two separate e-mail activities. One owned by the sender for the sent e-mail and another for the received e-mail that is owned by the recipient.
please refer blow blogs for more information on CRM email tracking