You would have to try each choice to see if it would make a difference whether you use ffsdhow or not, but I would guess probably not.
If you don't need the codec installed, then there isn't much need to keep it. Presumably you needed it at some point, though, if it is on your system. It is up to you, but uninstalling it may be faster than finding the option to always/never get used for the game, to get rid of the extra dialog.
