Should I have this turned on?
Personally i would leave it on the default settings.
Unless you know what a PUP is and are able to understand what the file reported is, what is does, why it is considered a PUP and if it is on your system legitimately; then you are unlikely to be able to be able to make an informed decision on the action to take.
PUP = Potentially Unwanted Program - See http://searchsecurity.techtarget.com/sDefinition/0,,sid14_gci1066761,00.html. Not included in this definition are tools which can be used for good or evil, some have been legitimately installed for a specifically good purpose, but could have been unknowing installed for a malicious purpose.
Not all antivirus programs scan for PUPs and avast has it turned off by default (an exception being the boot-time scan).