When you add a custom sidebar section you can make that (all the links in that section) visible to everyone or create it only for yourself. That’s the purpose of the checkbox.
The first section of the sidebar is always visible to everyone, you cannot change that. In general links you add to that section are visible for everyone. So when you add a link to a category to which only some users can see, those who cannot will still see the link. But the link to the admin area and review queue are not visible for everyone.
There is a theme component Navigation (sidebar) menu display control which allows you to show or hide a section for example for visitors.