Well, why would the harddrive be left on if the computer is asleep?
It would just increase the wear and tear on the harddrive and have 0 advantage.
The checkbox is there to help save energy, i.e.let's say you are currently reading a document and the harddrive is not currently being accessed, then the harddrive can be stopped, thus saving battery life.
If you prefer a slightly faster system, the harddrive will not stop spinning whilst the system is on, giving you a slight speed advantage.
Btw, it would be a bad idea to leave the harddrive spinning whilst transporting a laptop, so that's another reason why it automatically stops.