The default setting provides you with a good trade-off between security and usability. When you switch to medium several HTML5 and JavaScript features don't work instantly or don't work at all.
So for HTML5 video and audio you need to click on them to start them. So in theory you can review where those files are loaded and if they're malware they're not executed instantly. Furthermore JavaScript only works with HTTPS sites and JavaScript on HTTP sites is disabled.
I use the medium setting for the day-to-day browsing and from my experience this works well. However I cannot measure if I get more security out of it.
The highest security setting would be to set it to Safest. Because here is most JavaScript disabled and JavaScript can be dangerous. However I bet most of the sites won't work properly anymore.