Leave this off unless you need it. The URLs observed during the transfer are already exact, so verification mainly costs an extra HTTP request per artifact. It is worth enabling when the published file name is assigned by the server (SNAPSHOT versions) and you want the stored name confirmed rather than derived.
The query is issued by the Jenkins controller, not by the agent. If Nexus is only reachable from the agent network, verification will log a warning and the unverified URL is kept — the build is never failed for this, because the upload itself has already succeeded. Requires Nexus 3; ignored for Nexus 2.