If you go to the behavior/site content report and click the tiny icon to the right of the page path dimension (an arrow pointing to the upper right) the url will be prepended to the page path to open the page in question in a new window. Plus it will be used as the domain name in the in-page analysis.
I don’t think the setting affects data collection in any way.
To back this up here the relevant quote from the documentation:
Website’s URL: The domain name of website you’re tracking, e.g.
www.mysite.com. This information is used by the Content reports,
including In-Page Analytics.
“Used in the reports” confirms that it is not used in collection.