The new setting appears to have been rolling out over the past week or so and will allow users to authorize the additional functionality if they so choose. The standard legacy setting for DMs is also still available. Twitter users will be greeted with a message before the new feature is activated, "If you check this option, any Twitter user that follows you will be able to send you a DM, regardless of whether you decide to follow them back."
As many have suggested, the move is likely for businesses and public brands to allow customers and followers to connect with them privately on Twitter. It is also in-line with the company's recent push towards integrating more closely with TV networks like CBS.
The DM feature also plays into the company's recent plan to improve its direct messaging as a whole. Twitter is reportedly experimenting with disseminating breaking news and general alerts on popular tweets/users through direct messaging, not to mention the iOS, Android and Mac update the company released earlier this year to improve direct message status syncing.
While the feature has been rolling for the past number of days, some users still may not have access just yet. Once the feature is made available to you, you'll find the option in the main settings page on your account.