You may not notice unless you load the images one on top of the other or repeatedly turn the correction on and off, but not only did it remove the vignetting, it also did a bit of pincushion distortion correction as well.
The idea is that most folks want a lens that exhibits uniform sharpness and light transference. This function corrects it, and allows you to process the image as you'd like. If you like the natural vignette you can always replicate the pincushion correction manually and store it as a LR preset and apply it first whenever you use this lens.
And I agree, I prefer the second.