"Synchronise with Directory Servers". What data records will it sync if I leave this check box enabled?
If it is enabled, it sync's every 24 hours (default), else it will not synch with directory servers. Consider if you add a user A in directory server and sync is not enabled, if you want to authenticate the user A for SEPM it will not be considered as SEPm does not have information of the User A.
The User, computer and the OU's are extracted when queried.
How does this setting affect my current SEP sites/servers?
It does not affect , only thing is SEPM will try querying the AD.