Depends on how fast your connection is. If you have over 2 Mbit down and 500 Kbit up then you can leave it unticked if you wish.

You will connect to more hosts if acting as an UltraPeer, but Limewire will be using more bandwidth for messages and searches, hence the speed recommendation

You will not be able to act as an UltraPeer unless Limewire is properly configured to bypass your firewalls (the one in your router/modem as well)

You can check your status by looking at the example bugreport in your options. "Received incoming this session" should say true

Also there should be no brickwall in front of the globe in lower left corner

Tools>Options>Bugreports view example bug report