It won't actually prevent a website from tracking you, there's many ways you can be tracked... IP address, browser agent, cookies, embedded extensions linked to signed in services like Google and Facebook, your writing style and behavior on the website (there's analytic extensions to record the website as you use it and even record entered information even if you do not hit enter and submit the data in the end), even your browser window size. Does the service use anything like WebRTC which can cause a leak?
All the feature will do is indicate to the website that you would prefer to not be tracked, but whether the website respects this or not is another matter. It shouldn't cause any issues, I've never witnessed it cause a problem personally.
You may as well set it to "Always", I would personally.