If you shut down completely it'll still turn it off, but the drive won't (in the case of MHDD's) spin down. while the computer is on.
I think putting the computer in sleep mode would still turn it off.
I always set this setting because with a MHDD I don't want to have to wait on spin up to use my computer again, and I figure for a SSD it'd be more ideal for the drive to be as ready as possible.
Though I always kinda figured that a SSD wouldn't really do much when windows tells it to "spin down"--
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