I am fairly sure that the setting you are referring to, simply allows you to specify the block explorer that MultiBit will use when you drill down into the "Details" section of a transaction listed on the "Payments" screen.
So, it has no effect on either fees used when making transactions nor the speed at which any of your transactions will be confirmed.
The MultiBit support site seems to say the same thing:
https://multibit.org/help/hd0.1/payment-settings.html