Does anyone ever change it?  Can someone please explain it to me, and when you'd every change it?

Have you ever had a key player pick up two fouls in the first couple minutes of the game?  With no change to the setting they sit out almost the entire first half.  Starters with three fouls might not even start the second half.

When do you use it?  When you feel that not having a guy because of foul trouble is a bigger risk than playing him with foul trouble and having him disqualified.  E.g. if you think you can't win with him on the bench then bump the setting to more aggressive because your only chance is that he doesn't foul out.

Another case I have used it is when I feel like I have a balanced, deep team.  Then losing the gamble doesn't hurt that much.  Most of the time (especially with guards) players don't foul out even on more aggressive.

Also keep in mind in this game in particular the end of the game isn't really any more important than the middle of the first half.  So being less aggressive can just cause you to be without your best player for longer than just letting him foul out.

Would you (or someone else) be more likely to change the settings game-by-game or just for the season?

I generally set them for the season but might go game by game for the tournament.

If my starter is much better than the sub, I set him for more aggressive.

I typically weigh a few variables: opp. def. set and my depth at the pos. in question.  If you are playing a 2-3 def. for example, you probably want to have your best perimeter shooters in the game as much as possible.  Against the press, you probably want to ensure your best ball handler(s)/passer(s) stay in the game. 
As far as depth at the pos. in question, alblack hit it on the head.  I'd also have to agree with what Hannibal wrote.