The default value for SQL Server 2016 and SQL Server 2017 is ALL. For Azure SQL Database, the default value is AUTO.
With AUTO, queries that are insignificant from a resource utilization perspective, or executed infrequently, are not captured. If you need to capture queries that may only execute a few times, or those that use very few resources, then use ALL. Otherwise, use AUTO, as this will capture the relevant majority of your workload.
There is a third option, NONE, where no new queries are captured. Runtime and wait statistics will continue to be captured for queries that are already in Query Store.
I recommend setting this option to AUTO, as the number of queries in your environment that need tuning/your attention is a small percentage of the total number of queries that execute. You won’t miss out on important data if you exclude queries that don’t use a lot of resources or don’t execute very often.
Click through for good defaults for all nine settings.