External monitors - Any danger with allowing this app to record screen?

I have an Early 2015 MacBook Air 13". I purchased j5create USB 3.0 to Dual HDMI Multi-Monitor Adapter so that I can connect via HDMI to two external displays and use my desktop as well. For this to work I had to download and install drivers from "j5 create". I also have to go to System Preferences > Security & Privacy > Screen Recording and check the box to "Allow the apps below to record the contents of your screen even while using other apps." Well that sounds kind of creepy. What I have noticed is that if my MacBook is awake I can uncheck that box and both my external monitors will continue to work. However ,if MacBook goes to sleep the I need to go back and check box to "Allow the apps below to record ...", the the external monitors come back to life, and I can uncheck the box and use until Mac shuts down. Am I being too cautious? Instructions seem to say to leave that box checked, but doesn't that seem a little scary? To "Allow the apps below to record the contents of your screen even while using other apps." ?