Does the Mail application have to be running or in the background for the Auto setting to function in getting my email? If so I guess it can't do this function like the iPhone? I am new to the Mac, so sorry if I sound uniformed.
It does have to be open, but you can close the viewer window, so that it's essentially running in the background. You're correct, though, it doesn't work like iOS, there's no daemon to run in the background and keep checking for mail constantly.