Those settings relate to the actual tyre pressures on the label on the door post. If you pump your tyres up to the eco settings then you need to specify eco as the setting. This is so the TPS know what pressures you are running in order to warn you of a loss of pressure.
If you pump your tyres upto 38psi'ish for the eco setting but leave the setting at light on the computer your tyres would have to lose 10 psi before the TPS would warn of a deflation.
Yep, you normally set the tyre pressures cold and set the computer to match. They will go up as you drive once they warm up, especially if you do lots of braking or hard cornering.
Mine were set to light when I got the car. Look at your tyre pressure readings and see what they are when cold then look at the label on the door post to see which set of pressures they have used. The label may be in kpa so you need to convert to psi.
I'm now running eco for better mpg but it makes the ride firm, less grip and more likely to wear out centre of tyre sooner than rest. I'd avoid it unless you do higher mileage and want max mpg like me.