Very simply put, this option will enable the WordPress Shield Security plugin to automatically update itself every time there is a new version released.

Note: This option/feature is no longer applicable to the latest version of the Shield Security plugin and is here for reference purposes only.

This option overrides the option provided later on where you can enable general automatic updates for plugins.  If you don't enable that option, but you enable this automatic self-update, then the plugin will automatically update where possible.