Yes and no.
The noise benefit is because you also go into the UI and tell it you have a filter (you don’t). That tells the Glowforge that you don’t need to run the internal exhaust fan, which is where most of your noise comes from. Your external fan pulls the air out and they tend to be much quieter.
So yes, the noise will probably be majorly reduced if you turn that setting on and use your external fan to pull out the fumes, but if you forget to turn that fan off, it’s still noisy like a high-pitched vacuum cleaner.
If you really are worried about sound, you might want to look into insulated duct. It’s a huge noise reducer too. Like this: