By default an RSS feed is loaded from the URL provided above after the rest of the page has been loaded into the browser. That's why after the page has loaded you may see the 'Loading RSS feed' message for a second or two while the feed is being loaded.

You can check this box if you want to download the feed from the URL above to this site before the page is loaded instead. That way the page will appear with the RSS feed already loaded, so you will not see a 'Loading RSS feed' message. The downside to this is that the page must wait for all of the RSS feeds to be downloaded before it can be sent to the browser, so it could increase the load time of the page.