In the United States and Canada, national standards now specify that the nominal voltage at the source should be 120 V and allow a range of 114 V to 126 V (RMS) (−5% to +5%).

So it is OK to use the 120V lug.

Yes, you can and should move it to the 120v setting, but its not like it will make a huge difference. Transformers have a ratio, and using 120v in a 115v input would give slightly higher voltages. Higher voltage means more heat dissipation from the old linear regulators. Also, anything running on AC, like bulbs, could be driven just a bit higher than they should, shortening their life span. But the difference is so little you probably won't feel a difference in heat or light bulb life span, unless they often burn.. If they are LEDs then it doesn't apply.