The idea is that the email is deleted. I think that option is for use with forward mailboxes, which is where the router is set up to monitor one mailbox (instead of lots of mailboxes) to which everyone's emails are forwarded to. Since there is no point keeping
the emails after processing them (i.e. creating activities in CRM), the option is used to delete the email.
By the way, the Email Router has been deprecated which means it will be removed in a later version. I suggest that you investigate using server-side synchronization instead.