I leave Auto-retrieve turned off (unchecked) because there is/was a vulnerability whereby someone could send you a text message with some sort of virus inside that would auto-execute when downloaded. If the phone is set to auto-retrieve, it will automatically download binary attachments (such as photos or programs or...). So it's safer to leave it unchecked and only retrieve photos or attachments manually when you recognize the sender and are expecting an attachment/photo.
Maybe this has been resolved, but it was big news about six months ago. I haven't turned mine back on since, and it hasn't bothered me at all. I can just press a button to retrieve the extended message if I want, and if not, I can just ignore the message. That has happened only a couple of times, but getting a binary attachment from someone I've never heard of isn't something I want to have happen automatically.