Will it benefit me the end?

Hello Experts, My question is will it benefit me if I check yes on the weekly claim form. The claim form gives me the option  to with hold federal taxes from my unemployment  weekly benefit, and if I check off the box for EDD to tax my unemployment funds it will immediately do so and I will not be able to reverse that action.  So when it's time to file my 2021 taxes How would this benefit me considering the EDD is a state supplement income.