Personally I don't really like this feature and urge people to avoid it for "high security accounts".
It's not a "second factor" if it's stored and input using the same device and authentication information as your "first factor" (your username and password).
That's not to say it's useless, at the very least it's another layer that attackers have to figure out. But the true benefits of 2FA come from needing multiple devices to access accounts. If all of the factors are stored in one program on one device, then in the situation where that device/program is cracked, the attackers have everything.
Still, if you are going to choose between no 2FA and "2FA stored in your password manager", choose the password manager! And if you are going to choose between SMS-2FA, and the password manager, choose the password manager! But if you really want better security for not much more work, store your 2FA on a different device!