Hi Andy,
after deactivating the check you can install JEM and think it's working fine. But I guarantee it doesn't.
The problem is Joomla! expects from all developers to use JInput instead of the deprecated JRequest class to get the information from the user's requests (the things browsers send to the webserver). JRequest had code to handle the also deprecated but often used magic quotes, but JInput ignores this completely and stupidly expects it's switched off.
So we had no chance (except implementing Joomla ourselve) as to add this check. If you disable the check and install and use JEM on a server with magic quotes active you loose the word "stable" on JEM 2.0.0. I strongly recomment not to do this on a production site. You may get strange, unexplainable effects or in worst case security issues we can't help to cure.
Sorry for this bad words but I think you should know this. Independent from JEM other components may have problems too so the best would be if your provider switchs off magic quotes or gives you a way to use at least PHP 5.4 where it is removed. (this is also a good idea if you plan to upgrade Joomla! because Joomla! 3.3 and newer expects at least PHP 5.3.10)