You turn the regular down because the springs are compressed when they are up high and they will eventually fatigue and wear out. Realistically they probably will last longer than the compressor itself so I’m not sure if it matters or not.

As for the setting, that depends on the tools. If you are just inflating tires, it doesn’t matter how high you go. Go when high is good because that puts more air in the line when start. Some tools particularly paint sprayers need lower pressure, so you need to turn the regulator down. For a typical home compressor, everything else can handle the max pressure. There are high power industrial compressors or things they use to fill scuba tanks that put much more pressure and then you need a regulator to turn down to a safe pressure for the tool if you are using them, but odds are you aren’t.