Turning Off iCloud Photo Sharing

It just needs to maybe be worded better. It is only referencing the shared albums as a separate association from your actual camera roll. It won't remove anything from your camera roll by toggling this off.

To add to what BBois stated, the iCloud Photo Sharing setting refers to Shared Photo Streams -- those that you create and share with others, or what others may share with you. If you turn this setting off, then these Shared Photo Streams (and photos within them) will be removed from your device. But that does not affect what's in your Camera Roll.

If you have some Shared Photo Streams and want to preserve any photos within them, first save them to Camera Roll before turning this setting off. To do that, open the Shared Photo Stream and tap "Select" at the top, then tap on individual photos you want to save to Camera Roll, then tap the "Send To" icon (not sure what it's called ... the box with an arrow poking out of it), then select "Save Image".