Leave it on the “low” setting unless you have a football field sized area you are trying to fill.
The “low” versus “high” refers to signal strength and not to music volume.
It will not affect the music volume. Also, when it is on “high” it can cause a clicking static noise if a headphone gets too near the transmitter and all of the headphones on that channel can hear it when it happens.
Only use the high setting if you are in a huge area and/or some of the guests are losing reception in their headphones.
The “off” position turns the unit off, but there is no reason to do that due to how I have it set up. Simply unplug the power strip, and leave the transmitter switch on “low”.