The 396 does not allow for setting a specific trunked radio system talk group as a priority channel. There's a long discussion of that within the 396 post-release thread. The bottom line is that to do so, the scanner would actually need two separate receivers, to be able to find the control channel on the system in question, check for activity on the 'priority' talkgroup (or groups, if more than one were set). All without losing it's place in what it was scanning before it took a time out to check for priority actvity. That feature is on a number of user's wish list for future scanners.
As for the difference between Priority, Priority Plus, & Off:
Priority Off, obviously, is no priority channel scan.
Priority is scanning the priority channels for activity evrey few seconds. The rest of the time, the radio scans all of it's channels normally.
In Priority Plus mode, the scanner only scans channels designated as Priority channels. Since you can't designate a trunked system talkgroup as a priority channel, if you were in Priority Plus mode, you would, in effect, not be monitoring any trunked system. Ony those converntional channels tagged as 'priority' would be scanned.