The fade ensures that the edge of the audio event is at a zero crossing point and thus doesn't click or pop.
But depending on the way you are cutting up your audio, it can mean you get annoying drop outs in background noise etc. The trick here is to create a cross fade instead. You won't get clicks, and you won't get the drop out.
Thanks,
I guess I'll leave it checked. I can't hear any difference with it checked or unchecked. I've even gone through the timeline and manually removed SOME of the audio crossfades from the split events and left others in to try to hear a difference and I can't.