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From the help text:
Remove all unsafe characters from filename : All characters that could possibly cause problems for filenaming will be replaced with an underscore. See Help for details. Note, you may have to disable this option for certain languages/charsets - Hebrew, etc.
Use Windows-compatible filenames : Characters not supported in Windows filenames (e.g. for an SMB/CIFS share) will be stripped out or converted. Note, you may have to disable this option for certain languages/charsets - Hebrew, etc.