The second statement in the given context is redundant if run immediately after the creation of the constraint (with out without WITH CHECK, creation of the foreign key constraint with ADD CONSTRAINT FOREIGN KEY will do the WITH CHECK immediately by default).
The second statement is used to reenable constraint checking
ALTER TABLE [nameOfMyTable] CHECK CONSTRAINT [nameOfMyConstraint];
usually after it has been disabled, like so:
ALTER TABLE [nameOfMyTable] NOCHECK CONSTRAINT [nameOfMyConstraint];
GO
Scripting tools often create DDL like this - overkill, although I guess they really want to be sure :)
There is a third flavour, which is to re-check the validity of the constraint, e.g. after doing a Bulk Copy or similar which may have invalidated the constraint (marked it as untrusted). This is done like so:
ALTER TABLE [nameOfMyTable] WITH CHECK CHECK CONSTRAINT [nameOfMyConstraint];
Edit Hopefully this SQLFiddle clears this up?