What does “Leave a calling card on your victims” do

If you choose to change your role, if you have 'Suicide after choosing player class' enabled, you will die immediately and start to respawn as your new role. If disabled, the class change won't take place until you die in battle (or the round ends).

Note: this death will be counted as a Suicide, you if you are one to worry about your kill/death ratio, I'd disable it.

There are 3 glow effects in the game.

1. As a demoman, any stickybombs you place glow.
2. In Payload maps, the bomb cart glows.
3. In CTF maps, the intelligence briefcases glow.

Glows are visible through walls.

I assume that enabling this (it's disabled by default) will show any glows you would normally see.

It's not useful most of the time, unless you were recording a replay of a demoman life.