The Remote Management settings are included as a way of connecting the CMC to an upcoming Macrium product which will allow management of multiple CMC installs.
This will hopefully be announced in the near future. Sorry to be so vague, but it should become clearer in the future!
If you have concerns from a security standpoint, enabling this option will not cause the CMC to send information out or open any new ports. It also can't be used unless CMC is set to use HTTPS.