Everyone (including me) always sets it to MQ, but I don't know why?

What happens if you leave it set to SQ?

When you select multiple buildings at once (of the same type), where units are created, and in turn, holding down the "shift" key and the hotkey for that unit, MQ and SQ perform different functions.

MQ: By doing the above, you will simultaneously create the same unit in all buildings of the same type that you have created (example, a paladin). They will be created in all paladin stables.

SQ: that does not work, it has to be done individually for each stable.