Just curious — does Windows look better at 2560 x 1440? I'd have thought that would display sharper.
I have a Retina MacBook Pro, and I had the same confusion as you at first regarding the resolution. When it was brand new, only a few programs supported it, so I often used it in the native 2880 x 1800 using Set Res. But as more and more programs added support, that gradually stopped, and I haven't put it in that resolution for over a year now.
In my experience, "Best for Display" means that the screen is at full resolution, but with text and graphical elements scaled to look the same physical size as they would at half that resolution. You can verify this by checking web pages that have Retina support and comparing them with those with no such support. In fact often some elements within a web page will have support, while others don't. For example, put your monitor in "Best for Display" mode and look closely at this page. The Apple web site menu at the very top looks sharp, but all the other icons on this page are pixelated, right? This is because you need quadruple the pixels to display each icon at double size on a Retina display.
Here are two links to verify this with:
http://www.apple.com/choose-your-country/
http://www.apple.com/support/country/
Even though these are effectively the same thing, it seems that Apple has added Retina support to its main web site, but not to the support section. Do you see how the icons in the first link are pixel perfect, while the others are all blocky? Try viewing one of the flags from each page, and you'll see that the sharp-looking one is double the size of the other: 60 x 60 compared to 30 x 30.
The simple truth is that relatively few web sites have this kind of Retina support at this point. You can choose whether to put up with this pixelation, or put up with smaller text and graphical elements in your UI. But for now you can't have the best of both without putting up with pixelated web icons on a great many pages.
That's the bad part. The good part is that a lot of programs now support Retina scaling. This includes things like Photoshop and Lightroom. Sure, they will work fine at full resolution, but they also work fine at "Best for Display" resolution. All that's happening there is that the UI elements are doubled (meaning that their art has all been drawn at double the resolution — verifiable if you take a screenshot), while the photograph/art you are working on is not.
Desktop wallpaper is the same, shown at its full resolution. Again, you can verify this with screenshots.
I'm surprised to hear your comment about screensavers. Which screensaver were did you find a difference with? It may be that they have not been updated to be Retina-compatible yet. Personally I use Apple's Floating screensaver, and it is definitely showing full resolution for me.
Retina is a new technology and it's not supported everywhere yet. Things have really come a long way since 2012, when the first Retina Mac came out, but there's still a long way to go before we get full support. The amazing clarity of the screens makes it all worthwhile, though. My advice is to keep going back and forth between "Best for Display" and full resolution, and see which is best for each activity. You'll soon work it out.
I hope this is some help to you.
Thorf.