If for some reason the more visible wallet is compromised, the hidden wallet and your main resources stay intact. Select yes, and it will generate a 12 word backup phrase. This gives Coinbase a level of legitimacy unparalleled in the Bitcoin space. The initialization process is relatively simple. You must select at least one, but you can add or remove more at any time later.
In reality, its not bitcoins that need to be stored and secured, but the private keys that give you access to them. Bitcoin wallet is simply an app, website, or device that manages.