The ISO 9660 standard requires that all filenames end with a semicolon followed by a file version number. Many operating systems don't have any problem with this requirement and simply hide the semicolon and version number from the user. For example, Windows doesn't display them even though they are there. However, the semicolon causes problems for some operating systems such as unix, where the semicolon is a reserved character used as a command line delimiter. To accomodate situations where a semicolon and version number cause problems, Nero allows you to violate the ISO 9660 standard and omit the two.
In your situation, you can just leave the check-box unchecked and continue to burn as you always have. Don't worry about it.