Controlling document-wide settings in the Document inspector
The pop-up menu under File format options determines whether to save your document as a flat file or a file package. A flat file is a single file on the disk, with all of the attached images embedded in it. A file package is actually a folder disguised as a single file, with all of the attached images rattling around loose inside. In some technical cases, it might be desirable to use one type or the other; if you don't even know why this should matter, it's safe to stick with the Automatic setting.
Normally OmniGraffle documents are "property list"–based text files. If the Compress on disk checkbox is selected, your file is instead saved in a binary format that takes up less space on the disk but whose innards can't be read by scripts or text editor applications. If you don't have any idea why someone would want to open up their OmniGraffle documents with a text editor, go ahead and compress your files.
You can specify page margins, or just choose to use the Printer margins as defined by your printer driver (or by your custom Page Setup settings).