The Collate check box determines the order in which multiple copies of multiple paged documents will print.
When the Collate check box is checked, each copy of a document will fully print before the next copy is started (ex: Page 1, Page 2, Page 3, Page 1, Page 2, Page 3).
If the Collate check box is not checked, all copies of each page will print before all copies of subsequent pages (ex: Page 1 will print 5 times, then Page 2 will print 5 times, then Page 3 will print 5 times.)
Note that it does not matter whether or not the box is checked if you are printing a single copy, or if the document is only one page. Documents will not appear collated when printing to PDF, nor in the print preview.