The area of the pitch you set your teams DL, is the area of the pitch where the team will try to win the ball back.
So when setting higher Closing Down than the DL, your players will close down the player with the ball to interrupt him. They do not necessarily need to win the ball back.
When closing down inside your set DL players closing down will try to win the ball back. How often they goes for the ball will also be determined by tackling instructions.
This is how it seems from my point of view. I look at the DL setting as where on the pitch your team will defend from.
Is there by any chance anyone reading this that could help me put up screenshots/pictures? This would make it a lot easier to explain.