You definitely want it on.
It does create more heat though.
An RDRAM device (RDRAM chip) has 4 states: Sleep, Nap, Standby, Active.
Sleep obviously saves the most power and is coolest, but it also takes the most time to get back to Active mode during a send.
What the setting does is prevent RDRAM going down into the lowest power mode after access: sleep. It allows RDRAM to go into Nap, which reduces latencies and speeds accesses, at the cost of power and a little more heat.