No, I do not believe that does the trick. I think all that does is disable the automatic following of artists whose songs you add to your music library in the FUTURE? It seems to me (with confusing UI) that artists you are already following remain. The same toggle exists in the iOS app. I've had it turned off since I first noticed it, a day or two after Apple Music debuted. And yet, in iOS, next to "Following" it says "1645."
It's very strange. I want to UNFOLLOW ALL and then maybe manually follow only a handful of artists. Instead, because of this annoyance, I just end up avoiding the "Connect" tab entirely...