When using GPG to create a message (email, file, whatever), you can do two things (broadly) to it: encrypt it, and sign it.
To encrypt it, you specify a list of recipients, given as public keys that are owned by people who you want to be capable of decrypting the message. In most cases (certainly when encrypting your own files), you want to add yourself as a recipient; otherwise, you can't decrypt your own message! That's what the second checkbox does.
To sign a message, you use you own private key to create a blob of data such that anybody with your public key, the original message, and the signature blob will be able to verify that the message was signed by you and hasn't been tampered with. If the message (or signature blob) is modified, the validation will fail.
The program is asking you to specify your own public/private key pair to use for operating on this file. If you only want to encrypt the file to other people, and don't mind never being able to decrypt it yourself, then you don't even need your own key pair. However, if you want to encrypt the file while still being able to decrypt it, you need to add your public key to the list of recipients, and if you want it to be possible to verify the authenticity of the file (whether or not you encrypt it to yourself, or even encrypt it at all), you need to use your private key. That's why both of those checkboxes are next to a drop-down asking you to select your key pair.