So setting up my BTC account on Ledger. Should I choose Segwit or native Segwit. From what I understood it should be Native? I will be sending from Binance to Ledger. Then when I want to sell I will move to Coinbase Pro. Should I change the account? 
A native SegWit address will allow you to save a little bit more on the transaction fees than as if you were using a (nested) SegWit address. While you will be able to send your coins to any address, some exchanges and services still don't support sending to native SegWit addresses.