Basically, this allows you to improve the performance of remote tables by not requesting metadata for each query, only when the data is really needed from the tables.
Checking the lazy scheme:
If this option is set to false, the default value, SQL Server checks for schema changes that have occurred since compiling to remote tables. This check is performed before request execution. If there is a change to the schema, SQL Server recompiles the query with the new schema.
If this option is set to true, the scheme for checking remote tables is delayed until execution. This can lead to a distributed query with an error with an error if the remote table schema has changed between query compilation and execution.
http://msdn.microsoft.com/en-us/library/ms190918.aspx