Every time I close out the 2015.10.1 Lr app on my MacBook it suggests the below. Do I need to do this? If so, what all should I select?
This is entirely up to your needs.
Personally, I skip after sessions with very little work done only.
Keep in mind to take care of the backup folder since LR does not automatically remove older backups and it fills up your backup drive.
Retrieving data ...