In short, some devices like laptops have two GPUs, e.g. a fast but power-hungry gaming GPU and a slow but power-efficient integrated GPU. Which the system uses depends on things like whether it's running on battery and the user's settings. The GPU preference lets you request which GPU gets used - for games usually you want the high performance GPU. However often the system or user settings can override the choice, so it's little more than a hint.
AFAIK most devices only have one GPU, in which case the setting doesn't matter, as there aren't multiple GPUs to choose between.