As pbcopter says, it will only create a System Reserved partition on an unpartitioned drive.
Through past experiences (and headaches) it's no big loss. While it can be handy to have the boot files on a separate drive it can cause problems. It can get filled up and cause errors when trying to create a System Image. I had to extend mine to 300mb to get around the issue. Why Microsoft made it 100mb I'll never understand. It was 200mb in the Windows 7 Beta and they should have kept it at that size.
As long as you have a System Repair Disc or Install Disc then you won't really need it.