This is more of a preference of the user determined by experience in my opinion. I formerly worked building houses so I've probably made hundreds of thousands (I wasn't counting) of saw cuts.
Any saw manufacturer is going to tell you to set the blade to the depth of the material to keep people from cutting their fingers and toes off.
Advice to hobbyists:
Set the blade to depth. Don't put your fingers close to the blade. Using two hands is probably advisable especially if you are not familiar with the tool. Hold onto the saw tightly and do not let go if it kicks back. Let go of the trigger but don't let go of the handle. You really don't want a saw jumping out of the cut and dancing around by your feet. Also, use a square and mark a line. The skill saw wants to go straight. If you try to twist it in the cut that's when the blade will grab the sides of the cut and try to throw the saw backward. Make a line to follow even if you don't have an exact measurement. Following a line is also good practice.
Advice to professionals:
If you're cutting on top of a stack of sheets or something you don't want to cut deeply into you should set your blade to depth unless you want to put a piece of wood underneath it to keep the blade off of the floor or ground or wherever you're cutting on top of.
The best way to cut sheets in my opinion is to use a cutting guide such as the factory edge of the plywood/osb. Nail or screw the guide on either end 1 1/2 inches away from where you want to cut and hold the edge of the table against that edge and push it down the straight edge. You need to set the depth of your saw to pull this off. If you don't want to score the sheet underneath you can adjust it to just shy of touching the sheet underneath. Using this technique you can cut straighter than you could with a table saw and not necessarily parallel. It also saves you from having to bother chalking the line and following the chalk line, so when you get fast enough with it, the time to cut is comparable to chalking a line. If you don't understand these instructions this isn't for you.
For cutting dimensional lumber, the pros generally don't set the depth unless it's nailed down or something. You can actually achieve straighter cuts by holding the front of the table on top of the board, line up you cut and plunge down onto it as demonstrated here. Also, going full depth it's easier to cut straight as the saw blade itself is acting as your guide. If you're super concerned about kick back you probably haven't been using a saw long enough and should master the basics before attempting this.
This video has some tricks for experienced users. He likes a worm drive saw. I prefer the sidewinder type. Also, user preference but worm drive saws tend to be easier to use in some ways because the motor is mounted front to back so it's not fighting you from keeping the saw straight. With a sidewinder type you have to constantly adjust to keep the saw straight. The downside of the worm drive saws are that they are heavier and more expensive so as a novice you probably won't be using one anyway.
Advice to everyone
Never put your fingers under the board close to the blade no matter what depth it is set to. It's not like a knife where you can stop cutting yourself. They will be there and then not and they don't grow back. There's nothing wrong with a bit of caution especially with power tools.