KeePassRPC connection security levels is probably a good place to start.
The security setting you refer to only applies to the connection between Kee and KeePass (via the KeePassRPC plugin). Kee’s communication to/from Kee Vault does not need to leave your web browser like KeePassRPC does so there is no need for that layer of security.
In other respects Kee security will be comparable no matter whether you connect to KeePass or Kee Vault - each is theoretically at risk from a slightly different set of potential security flaws in the rest of the software on your device (including bugs in your operating system and web browser) but unless you are already expert in analysing all of those risks and have some highly specific threat model that you wish to defend against, the details are not likely to be significant.