That makes sense, thanks. .. so just to clarify:
Without orthogonalization, the two PMs will be given equal 'weight' in explaining the variance? Whereas with orthogonalization, the first PM will be given priority, and the second PM will only explain the variance left over?
Also, if I only have one PM, then it doesn't make a difference whether I set orthogonalization on or off? (Note that I do have other regressors though, but it seems that the orthogonalization option is specifically related to the PM dropdown).