How does this type of thru axle work?
For regular opening like changing a tube or tyre do I open the little bolt or do I use the lever? 


You take the axel out by unscrewing with the lever (left loose). The bolt allows you to change the orientation of the lever relative to the axel, if you care about such things.


  What does the little screw with much smaller torque rating?


The lever usually has teeth to keep it in place so you do not need a lot of torque to keep the lever from slipping.


  Do I need to have a torque wrench in the field with me for that one?


Only if you feel that you need to change the orientation of the lever relative to the axel while out in the field. I cannot think of a valid use case.