Typically, you only want to check <i>Inbox</i> for new messages, because that's where new messages arrive, so you reduce server load by telling the mail client to only look for new messages there. If you were filtering messages <i>at the server</i>, though, before the mail client gets to see them, you'd want the mail client to also check the folders where those messages might have been moved, in order to be able to see whether new messages arrived there, and that's when you'd want to choose that option for those folders.