Guide to Moodle

Option 1:  (Copy) says Create Duplicates, New Turnitin Class....
This one looks at the current course to find which Turntin class it links to and creates a new class in Turnitin to link to, then for each Moodle Direct activity, creates a new version of each Turnitin assignment in the newly created class with the exact same assignment options. (This is generally the one most folks will choose). It is not destructive and will keep copies of the previous class and assignments containing submissions in Turnitin but will create new activities linked to brand new empty replicas of the Turnitin assignments

Option 2:  (Replace) Replace Assignment Parts, Reuse Turnitin Class
This one is similar to the above but instead of creating a brand new class it will reuse the previously linked class and create brand new replicas of the assignments in it rather than use a new class. Downside to this method is you keep the previous Turnitin cohort of students. This option is pretty specific to certain use cases and is generally not used very often.

Option 3: Untouched
As you say, leaves the class and assignment linkage the same and basically does nothing to the Moodle Direct activities.