You do not have to enable unmanaged debugging to debug your plugin. Breakpoints in your code will activate (turn from hollow to solid) when the host application loads your add-in. If you are not sure if this happened then have a look at the Debug > Windows > Modules window.
Enabling unmanaged debugging does not otherwise greatly affect the debugging session, it can however take quite a bit longer to get started and you may need to temporarily disable the symbol server to avoid getting annoyed at it.
The Tools > Options settings have rather poor names. Microsoft has been working on new debugging engines but was forced (or chose) to drop some features. "Use Managed Compatibility Mode" forces an older version of the managed debugger to be loaded, the one that was used in VS2010. It is required when you debug C++/CLI code. It can be also useful in VS2015, its managed debugging engine is very buggy. You'll miss out on some new debugging features like return value inspection and 64-bit edit+continue. You don't otherwise need it to debug your add-in.
Much the same story for "Use Native Compatibility Mode", it enables an older version of the unmanaged debugging engine, the one in VS2012 afaik. You'll miss out on the new Natvis visualizers. I have not yet found a compelling reason to need it, other than keep the old visualizers working.
Thanks to him.