When you go into Spybot > Mode > Advanced mode > Settings > Settings, under "Expert settings" the following items are check/unchecked by default as follows:
■ Use shredder to remove usage tracks.
■ Use shredder when purging recovery files.
□ Show expert buttons in results list.
□ Show expert buttons in recovery list.
To the best of my knowledge the "Use shredder when purging recovery files" only refers to the purging of the recovery files created by Spybot. The purging of these files is done by going into Spybot > Recovery > and select the item(s) that you no longer want to keep and using the "Purge selected items" option on the top of the screen.
I do have "Create system restore point when fixing spyware/usage tracks (Win XP only)" checked and have not had any problems with System Restore Points being purged. However, I must also note that I rarely find and fix things.