SPD Clipless settings
 

Just wondering what are the pros and cons if you set the tension from low to high?
Energy transfer will diminish with low tension?
In the low setting, wouldn't you risk your feet come off the pedal on the upstroke during a climb?

^^ Yep. I have mine set low too. Unless you randomly twist your feet while pedaling (in which case you should work on on your form :)) there's no need for high tension.

Energy transfer should be the same either way.
Loose tension lets you feet release more quickly when you stop, but can also release inadvertently, especially when you are cornering hard.