Do you mean in SH3 Commander?
If so, when you select the automatic rollback in Commander, it means that when you exit the game Commander will undo any changes it made to the game files in order to implement the options/features you selected in Commander prior to loading the game for that session. (Those changes will then be re-implemented via Commander the next time you load the game from the Commander interface.)
Personally I recommend that you do select rollback in Commander, since this can avoid potential conflicts when you mod the game files outside of Commander in between gaming sessions.
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