Just to furthermore explain what this does (or you can read it yourself by tapping on the, 'Learn More' link at the bottom of the screen - it blocks ads which look at your past behaviour, it's quite clever how people advertise these days. Personally, once I've paid for a device I shouldn't be getting ads on it, at all.
FYI - This will not block ads, just stop the ads which look at your preferences and past behaviour.