From the MBAM User Guide:
Enable self-protection module: This setting controls whether Malwarebytes Anti-Malware creates a safe zone to prevent malicious manipulation of the program and its components. Checking this box introduces a one-time delay as the self-protection module is enabled. While not a negative, the delay may be considered undesirable by some users. When unchecked, the "early start" option which follows is disabled.
• Enable self-protection early start: When the self-protection module is enabled, you may choose to enable or disable this option. When enabled, the self-protection module will become enabled earlier in the computer's boot process – essentially changing the order of services and drivers associated with your computer's startup.