What do these options do during Windows Setup?

They skip the Out of Box Experience setup screens before your first logon. By skipping OOBE, you're responsible for applying all the settings that OOBE would have asked you about. Otherwise Windows provides the system defaults for settings like the hostname, default language, region, privacy settings, etc.

Before disabling User OOBE, you're required to create a primary user account in Unattended mode, or enable the built-in Administrator for logon. If you forget this step, then Windows won't allow you to logon normally.

Most of the first-time logon problems are from skipping OOBE, and not properly creating a primary user. Which is why NTLite beginners are recommended not to change OOBE, until they understand how to use the Add local user wizard to fill in the missing details.
 
I have a doubt, it is not the "Welcome" option at the end of the installation ?

If SkipMachineOOBE is set to true, Windows Welcome does not run, and the user will not be prompted for values that are necessary to successfully complete Windows Setup. If these values have not been specified in the image or in an unattended installation answer file, the computer could be left in an unusable state.
 
I would expect that to be true, since OOBE Updates are handled by OOBE.
But you have other options:

1. Add this line to your Windows host file:
Code:
127.0.0.1  sdx.microsoft.com

2. Add this reg file from the Registry screen (it will disable Content Delivery Manager, so you can switch it again during Post-Setup):
Code:
Windows Registry Editor Version 5.00

[HKEY_LOCAL_MACHINE\SOFTWARE\Policies\Microsoft\Windows\CloudContent]
"DisableCloudOptimizedContent"=dword:00000001
 
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