If there's a high/low sensitivity switch, the reason you want to keep it in the low position is to limit your reception of the beacon to the time you are directly over it. By having the shortest reception time possible, you can be more accurate defining your missed approach point, for approaches that use it.
Not really sure why marker beacon receivers have a high sensitivity setting. The marker beacon's signal is broadcast vertically, so you can only receive it when you are more or less over it. It's probably a throwback to the days when airway radio beacons were in widespread use. In the high mode, you could still recieve the signal even at higher altitudes.