The default is to underline links so that they can be easily recognized as links. Some web designers do not like this. They think that underlined links don't fit to the design of their web page and therefore they try to disable the underline of links. Especially some non-experienced users may have problems recognizing the links in this case.
With the new setting, the user has now a better control how the links should be displayed and if web pages are allowed to change the underlining.