Reason I mention the Web Shield is it only effects web content. So turning it up wont effect your system files, where the worst damage from false positives can occur. Most negative it would do (if at all) is slow browsing down or generate FPs on web pages. But do you need to turn it up, no, not at all.

Scan for PUPs is fine, as long as you know what PUP means, and how to handle that type of detection when it happens.