Personally I would rather use a browser other than IE9 (Firefox, Chrome, Opera) as they don't have activeX at all.
Most browsers also have Private browsing if you are concerned about tracking.
However, about your question. My interpretation of the above image statement would be, it would either start from a clean slate where every site is blocked from using activeX unless you specifically exclude it from filtering and data tracking. Or it may have a database already setup of known bad sites, etc. that you would/could also add to.
OK, cancel my last (not completely), I have just started my win7 netbook that also has IE9 installed. If you check that box, then when you delete your Browsing History any data saved under those features would also be deleted. This I believe should be left unchecked as you would want to retain ant information gathered about activeX filtering or Tracking Protection Data.
You will see in the Tools Menu the option to enable both activeX filtering and Tracking protection. If they are enabled then this information would be stored, otherwise there would be no data to delete when browsing history is cleared (assuming you checked the option in your image).