It enables you to check you mail waiting at the server, and if you don't like what you see, you can delete it at the server without ever having to download it.
Erm, I bet it doesn't.
If your mail server only offers the traditional mail protocols (POP3/IMAP etc.), then there are only a limited number of commands your mail client can issue.
Therefore, I reckon what's happening is......
That software quietly downloads your mail behind the scenes, processes it, and then trashes what it doesn't like and displays what's ok.
So you
are still downloading your mail, and wasting your bandwidth and processing power.
Server side scanning is the way to go. But you can only do that with the co-operation of your email provider, you cannot initiate server side scanning from your computer, no matter what software you decide to run.