As default the WordPress url’s format include an ending slash. There are situations when this slash is not being append. Turning on this option, all links will get a slash if not included as default.
This is also useful when someone try to view a directory content. On majority of servers, when try to open through an url an existing directory or file, if the server configuration does not allow directory listing it will return a machine default 404 error page. But this reveals the structure directory existence, which is really not wanted. Turning on the URL Slash option, the above url returns a theme 404 error page, like there’s nothing at that link.