"Choose items to display in Explorer context menus" options group lets you to select items to add to Explorer context menus. These items are displayed when you click on a file or archive icon in Explorer or Desktop by the right mouse button.
"Where to check for SFX archives" options control processing of SFX archives in context menus. Checking contents of executable file and detecting if it is a self-extracting (SFX) archive introduces some delay when right clicking every ".exe" file, because WinRAR needs to read and analyze file data to find out if it is SFX. While such delay is negligible for fast local hard drives, it can be noticeable in case of slow network disks. This group of options allows to enable or disable SFX processing for local hard disks, network disks and other disks like CD-ROM and USB separately. If you turn these options off, you will not see all SFX related context menu items when right clicking SFX archive. So disable these options only if you really experience delays when right clicking ".exe" files.