Better keep it at default for better security. What you need to do is, Leave Kaspersky scanning and do something that can take up your time then come back to it. That way, You won't be wasting time staring at the screen waiting for Kaspersky to finish scanning.
I personally leave it set to "all files".. Also on critical scan, in settings, in Additional, i tick rootkit scan.. I alternate running the full scan and the critical scan at different times..