This part of the wizard is only seen when you process a file for printing. Whether or not you wish to create page breaks is a matter of personal taste, but here are a few tips to help you make a more intelligent choice:
If the individual topics in the compiled file are long, and seem to be structured like chapters, you'll probably want to create page breaks.
If you know that the file uses headings for most or all topics, and the topics are mostly short ones, you can often get away with using no page breaks. The headings will be referenced by page number in the table of contents, making even hundreds of small topics easy to locate in a printed document.
If you know that the file uses few or no headings and includes many small topics, you will usually want to create page breaks. These will be useful as visual guides when modifying the file prior to printing. You can simply replace dozens of unneeded page breaks with headings prior to printing to prevent unneeded paper waste and reduce printing time.
If you discover after creating the document that your selection was unsuitable for the file you processed, you can simply erase the output file and try again using the other option.