Selecting the Objects with spectra check box reveals locations with a red box within the SDSS database that were chosen for special observation using an instrument called a spectrograph.
The SDSS spectrograph produces a graph of the amount of light captured from the object across the electromagnetic spectrum, from ultraviolet to infrared light. Obtaining spectral information about an object requires that light be routed via a fiber optic cable to the spectograph. This is a more expensive and labor-intensive process, so not all objects are chosen for this second type of observation.
Look at the galaxy below. There are many photometric objects in the field of view compared to the one spectral object.
