It’s *different* if you’re talking about a car or a room, so let’s split those up.
A car will try to output air at whatever temperature you set. If you set 71F, it will try to output 71F. It’s not “closed loop”, it’s not paying attention to how hot the car itself is, it’s just regulating how hot the air coming out of the vent is. So if you set it to max, it will put out the hottest air it can. This will warm you up faster. So, in a car, set it to max until you’re at at the temperture you want, then dial it back. Note: fancy cars that have “auto” modes or computer-controlled climate may do this on their own, but it won’t hurt.
A house only has “on” or “off”. It doesn’t control the output temperture, it controls how *long* the furnace runs. It will turn on and run until it gets to the set temperature. It doesn’t matter if you set 70F or 100F, it’ll just be “on” for as long as it takes. As a result, it doesn’t heat faster if you set a higher temperture, so you should just set the temperature you want.
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