Over 80% of all comments submitted to blogs every day on the WordPress.com site are spam and you want to open you blog to auto-posting of spam comments do you? Well this is the page we set up defaults for comment > Settings > Discussion.
The number you point to are for nested comments which are sometimes called nested comments. They allow commenters to reply to each other rather than having a long line. You set the limit of how many deep they are. Some themes display them better than others so try different numbers and see how they display.