When you check this box, the frame shape will be filled. The color of the fill will be that which is currently set by the 'Shape' selector in the Color inspector.
Whether the frame outline will be drawn as well depends on the settings in the Frame outline section of the Frame inspector.
This parameter group can be selected only when you have assigned a gradient as shape color (in the Color inspector). Then you can define here how the gradient will draw the shape. You can define a rotation angle, and choose between a linear or radial gradient.