Here is my beef. I didn't know what that meant and I doubt many people would. There was no manual and only a "quick start guide" included and no where on that guide did it say to say yes to that question. If I hadn't found that obscure video I would still be working on the problem.
I know what "clone a MAC address" means, but I wouldn't know whether a particular ISP required it or not.
By default every router has a different MAC address. Unless you configure the new router to have the same MAC as the old one (by cloning it), the ISP won't recognize the new router as "your" router and will reject the connection.
Before routers allowed cloning of MAC addresses, you'd have to phone your ISP to have them accept the MAC address of the new router.