Hi,
The links will work fine with the settings regardless of how you configure them provided that your product data and menu structure is correct.
If you enter crappy data in the products, some parameters won't work properly in some cases. Switching them is a simple way to circumvent the problem.
For example, suppose that you entered the alias "my-shoe" in the product and that you have the URL /shoes/product/my-shoe2.html as canonical URL for your product. If you have the "force canonical URL on listing" setting activated, the system will use the canonical URL of the product as URL to the product page on your listings. But since the alias of the product doesn't match with what you have in the canonical URL, when you click on the link to the product page, the link won't work.
Turning off that option is an easy way to fix the problem, but the real solution here is to have an alias which matches with the canonical URL or not canonical URL and keep the option turned on.
It's just an example, and I'm not saying that it is the problem you're facing, but it's probably something along those lines.