There are a couple of different archiving options in the wizard:
1. "Archive all folders according to their archive settings."
The default is to archive messages older than 6 months. You can check these settings by right-clicking on a folder, such as the Inbox, and selecting "Archive Rules". All messages that are archived with this option are moved (deleted) from the mailbox to the archive file -- i.e. there is no need to then additionally delete anything from the mailbox.
2. "Create archive only, do not delete any messages from the server."
This option follows those same Archive Rules, but does not delete the messages from the mailbox when it is done. After it is done, you would then manually delete anything you didn't want in the mailbox any longer.
3. "Export the entire mailbox to an archive, do not delete any messages from the server."
This option creates a copy of all messages in the mailbox, placing those copies in an archive file. Use this option to create a complete backup copy of the mailbox, regardless of any Archive Rules that are set on individual folders.