I think where the distance is set is a carry-over from the Leica LTM days. On the M series, it doesn't make a mite's difference. Nor does it on any SLR.
I have several Russian "copy" cameras, and I, too, find it helps to move the lens to the closest distance on the Zorki bodies. However, the reason for the infinity catch on the old screw-mount lenses is supposed to have been to make UN-screwing the lens easier.
If you watch the lens closely, to no surprise, the RF flange in the back of the lens moves out forward as it's turned closer, while at infinithy, it's clear back in the way of the cam in the body. Thus it's easier to MOUNT the lens when set at closer distance.