I have mine only set for my county. Two reasons, one being I am located in near the center of the county, and two when the radio goes off I know it is time right then to pay attention to it.
It is tempting to put in all the surrounding counties to hear what is also going on around me. But decided instead during times of curiosity just to monitor the HAM to NOAA weather net frequency and the internet along with NOAA weather channel directly.