Sure thing! :)
You're right that a
myLeoSettings.leo (
to be saved at the root of you workspace)
file can be used to setup personal preferences, but also, an
@settings node directly in a Leo file can be used to set any specific settings.
The purpose of showing the base leoSettings file that contain the default settings,
exactly like when using Leo's menu->settings->Open leoSettings.leo, is to give the user examples of all possible settings that are used, see their default values, and to be easily copy/pasted and adjusted back into the user's own myLeoSettings or @setting node.
For example, the abbreviation system I just recently implemented offers some already defined global abbreviations (date, html, zen, ... ) those reside in the abbreviations section of leoSettings.leo. So if you want to create your own, this serves somewhat as the documentation and reference for that.
A common occurence is to set the setting shown below to 'True' to have the scripting abbreviations enabled instead of just the regular abbreviations:

Additionally, just like it is suggested the original Leo's leoSettings.leo,
it is to be preserved as-is and not changed. (As you've noted, it is opened as an untitled file because it does not exist anywhere on disk, it's already included internally in leo-web's sources. So no risk to change it accidentally saving over it) Once you're done consulting it or copy/pasting from it to put parts of it in your @settings nodes or your myLeoSettings.leo file, you can just close it :)
So to recap, that Settings->Open LeoSettings is just to show the user all the available default settings. To apply or add a setting of your choosing, an @setting node, or a myLeoSetting.leo file are the ways to do it.
Thanks for your questions! I'm sure other people will benefit from that short 'how-to' leo configuration overview!
Félix