Wifi Protected setup let's you put in the PIN stickered on the device itself to connect to it, rather than knowing the wifi password. It is not an "additional" security feature. It is designed to make it easier by effectively allowing the confirmation of hardware access to allow login.
The PIN method (this prompt) is the old way. it is deprecated and not only supported but discouraged. It hasn't even been present in Intel's Wireless drivers for about 8 years.
It was replaced by the button method, You try to connect, the software says "press the button" and you press the WPS button on the router and then you are connected- again, it confirms you have physical access.
Naturally all of these features can be disabled in both the router or the wireless software.