If you are worried about data loss, I would duplicate the site locally as a test install and try on there. If that works fine, I would backup files and DB again before modifying groups on my dev install.
TBH I don't recall having data losses by switching goups, but that's not something I typically do every day.
I'm not sure why you need it checked in your exact scenario but this was added in 3.4.21. Information on it here: https://github.com/craftcms/cms/blob/develop/CHANGELOG.md#3421---2020-05-28 and here: https://github.com/craftcms/cms/issues/6113)