Best Wi-Fi Performance Doesn't Do Anything In wireless options there is such setup, but it does not do anything. It doesn't increase coverage or signal. And i think it does not consume more power.

Why? Because this option does not apply itself in my opinion. Maybe a bug?

Htc Desire S
Android 2.3.3
Your phone settings cannot possibly affect the strength of the signal produced by a wireless router.

I would assume that this option just prevents Wi-Fi "sleep", seemingly confirmed by this discussion.  If that's the case it will consume more power when you're not using your phone.