Getting an email when someone gets locked out became an issue for me. Especially one day when my site was being hammered by a brute force dictionary attack from multiple IP addresses. I unchecked that box.
I did however choose to continue emails when people tried to logon to a nonexistent account. The other day even that became annoying. Rather than uncheck that box too I decided to try putting a roadblock in the way of those pesky bots.
I added a Google Authenticator app. The bots don't know what to make of having third box to fill out. These days 2 factor authentication is a must on administrator accounts anyway.