It would depend on the hotel as to whether you would get both.

At Hilton HHonors properties, you get both Point & Miles. But that's the only hotel family at which you can get both for the same stay.

So if it asks you this for other hotels, I have no idea. (I haven't booked hotels on Southwest's site in ages, and it's changed a lot since then.) I always book with the hotel program's own site, so then it's clear what I will and won't get depending on the program (since in most programs I have to choose). It's never clear to me from a third-party booking site, even when it's a partner airline's booking site.