The answer you will often get goes something like this. "Just turn it all the way up and leave it alone." Or, "It is just a leftover from the old days. It's kind of a traditional thing to put it in. Just leave it wide open." Or, "It is just another kind of volume control." Or, "Don't worry about it. Just leave it turned up and let the AGC do the work." All of these answers are true to a point. But modern HF receivers have RF gain for much the same reason as the old time receivers. Their main task is to reduce overload in the following stages of the receiver.
DON'T WORRY! A technical discussion is not about to follow.
Let's see. The question was, "What does it do?" In simple terms it can make a signal easier to understand and listen to. I find there are three situations where adjusting the RF gain helps me out.
SITUATION 1 - I am listening to a very very strong station and it sounds bad. I often will turn the RF gain down to the point that I have to turn the AF gain up. That will many times make the signal more "listenable".
SITUATION 2 - A ham neighbor near by is on the air. His signal is not splattering me but other signals seem to be weak or just don't sound as clear as usual. Turning down the RF gain some will often clear up the others signals that I am interested in hearing. This is most often helpful on the lower HF bands.
SITUATION 3 - There is a lot of static noise and the noise limiter just does not seem to help very much. Turn off the noise limiter and turn down the RF gain slowly. I often find that there is a point where the noise goes down more than the signal. I call this the "sweet spot". I may even turn the noise limiter back on. See note below.
If you don't encounter any of the above situations, then yes, leave the RF gain all the way up.
I most often reach for the RF gain when listening to weak signals in noisy conditions. By finding the RF gain's "sweet spot" on a signal it reduces my "listener's fatigue" and I enjoy my time on the air much more.
Hope you find this helpful and happy hamming.
NOTE: You may find that adjusting the RF gain with the noise limiter on works fine for you. It's easier for me to find the "sweet spot" with the noise limiter off on my radios.
