AMD Shader Cache
Most games ship their shaders in a source-code form, and then compile them via the graphics driver on demand, when the game is launched. This ensures that all the latest driver optimizations are compiled into the shader, and ensures they work with new or rare graphics architectures that precompiled shaders cannot always cover. Some games even compile shaders during gameplay, which often causes slowdowns and stuttering.
AMD has addressed this with their new Shader Cache settings in Radeon Settings. When enabled, the driver will first check AppData\Local\AMD\DXCache to see whether a shader file has already been compiled for the current device and driver, to then serve the compiled file instead of spending time on recompiling the same shaders over and over again. Deleting all files in that folder will also reset Shader Cache.
AMD has done some performance testing with this feature, which promises to improve level-load times:
AMD is also highlighting how Shader Cache can avoid hangs in Call of Duty Advanced Warfare:
Overall, I think this is an excellent new feature that was relatively simple to implement, but provides tangible benefits for all users. I see no reason for you to turn this setting off.