Choosing a specific Attribute Set will make designing the report easier since the wizard will show the user defined labels rather than generic Field names for the User Defined Fields. However it will limit the type of Assets that can be included in the report, as only Assets that have the selected Attribute Set will appear.
If you do not select an Attribute set then your User Defined Fields will have their generic Conquest Field name (i.e. UserText1, Dimension1). In this case if you choose to have some User Defined Fields in your report then the wizard will automatically group all your Assets by their Attribute Set.