The setting is on the Web tab in Project Properties. I'd never seen the point of it. Now I think I get it.
These settings control what happens when you Start Debugging in VS. Well surely when you hit F5 you want your web browser to launch and you get testing? There is value in the "Don't open a page..." setting, certainly if testing against IIS. Probably less value with the dev servers.
With FireFox there is some matching annoying behaviour that when you stop FF you *don’t* stop debugging in VS. Using this setting allows you to get it under much sweeter control.
Leave FF running all the time. In VS hit F5 – the app builds – VS goes into debug mode and just sits waiting. Flip over to FF (or your browser of choice). Hit the test URL and start testing. The debugger can chip in if it wants to or if you want to set breakpoints etc.
Alternatively you can change code and just build. Refresh the page in the browser and it uses the new code. It’s not a requirement to operate under the debugger.