You want a delay of about 5 seconds--long enough for the scanner to wait for a reply transmission if there is one. A delay of 0 means the scanner continues scanning immedialtely after a transmission ends, and you will miss replies.
That's really a user prefernce question not unlike "what color should I paint my kitchen?"
My two cents are if you seem to be missing more replies to transmissions than you desire, increase the delay time. If you are getting all the replies you wish, but the scanner seems to "hang" too long, then reduce delay time.
I "mix and match" (but don't get too fussy). On some channels (those I don't want too miss a reply) I use 4 seconds. On others (those that are just "chatter") I'll go with 2 seconds. Then there are some dispatch channels where there are no replies (as in the "You have a house fire at . . . ") where the delay is 0.
Then another consideration is "how fast can you reach the hold button"? If there is something really interesting going on, you may want to hold on the channel to listen to subsequent transmissions.
" ... dispatch channels ..... the delay is 0 ... "
Most of what I monitor is "dispatch" critical. Therefore, a zero setting is best for me. If a series of receivable SUPER IMPORTANT back-and-forth transmissions is expected, I will assign a single scanner to that single Frequency/TG. Also, since I consider none of my "favorites" to be more important than the others, I set no "priority" Channels/TGs. If it is important enough for "priority", it gets its own scanner.