What does the ‘Set MXD’ button in the Projects area of the Administration window do and do I have to use it?

This is used to link the selected Trimble Positions project to the currently open MXD.  You can only link a project that was created from the same workspace (e.g., geodatabase) that the layers in the current map document originate from.  Linkage is an optional step and only affects the ‘auto load’ behavior of a Trimble Positions project.  Whenever you open a new MXD, the Trimble Positions Desktop add-in will look for projects linked to the MXD (by name only and not full path) and if it finds any, will automatically load, or open, the first one it finds.  You can still open any compatible project (as per the workspace validation) by using the ‘Set Current’ button in the Projects area of the Administration window.