When you can, please check your Electrum apps and let me know if this option is ticked or unticked in your settings.
I installed Electrum 4.1.0 and 4.1.5 on Windows Sandbox and both of these version had this option enabled by default.
The way it is now, what happens with my change?
The change will be sent back to one of your existing addresses rather than to a new address.
Should I tick this option?
Maybe? I always disable it and manually decide what to do with the change. You can use exclamation mark ("!") instead of a specific amount to spend the remaining value of the selected inputs.