Good arguments can be made both ways on whether to use a large, medium or small Range value. It's a preference thing. My preference is larger so I'll hear about something earlier so I can avoid it.
Another drawback in addition to troymails point about scanning unreceivable stuff, if the scanner takes more than 30 seconds to cycle through the list of stuff it's scanning, the probability of missing transmissions goes up significantly, even if everything being scanned is within reception range.
A scanner Range setting between 0 and 5 usually offers the best tradeoff between getting advance warning and missing traffic because the scanner is scanning too much stuff (whether in range or not).