If your ad zones are available to purchase in the BSA Marketplace enabling this option is a simple way to increase their visibility and possibly drive more sales. Also, sometimes you have no ads to serve. When this in the case -- and you have no 3rd party or house ads set up -- no ad will show on your site (even with the ad code properly installed). Now, that may or may not be desirable to you. If it is, great. If not, then enabling the default "Advetise Here" option is a good idea. This will fill the ad space and include a clickable link that will direct potential advertisers back to your Marketplace listing where they can purchase the ad.
This option is enabled via the zone settings and is available for both CPM and Sponsorship zones.