Jacques,
I disagree with you.
If you set the selector to 240V, and there is only 220V coming in, there is less load on the regulator, and the system will still run perfectly (about 8% less AC reaching the regulator). On a typical 7805 5VDC regulator, you will find about 12-15V at the input. So, about 8% less is not critical at all.
If on the other hand, you set the selector to 220V and there is more than 220V coming in, the regulator will run hot - guaranteed.
I have a communique from B&O, which states explicitly to set the voltage selector to 240V to attempt to alleviate certain problems (on 1970's era equipment).
But even without that official word, it is good practice to do whatever is necessary to keep the regulators as cool as possible.
Menahem
Learn from the mistakes of others - you'll not live long enough to make them all yourself!