I'm currently an SH3/GWX player, soon to have SH4/UBM. If it's anything at all like SH3, and I'm sure it is, it certainly matters what class of sub you're driving. I recommend you do exactly what
seaniam81 does to determine the best range. After changing speeds I recomend that you allow your sub to travel several minutes before asking your Nav Officer how far you can go at present speed again.
Sometimes you might find that you will be given a little bit longer range for a (1 knot)lower speed, but it might be very little. At that point, I'd say that the Nav Officer is trying to tell you that you might as well bump it back up that extra knot.
Note: Speeds can actually be set in tenth's of a knot. If you set a speed of a half knot, the response will be that speed is set to zero knots, but you will discover that your engines are moving you at half a knot. Every little bit(tenth) counts when trying to determine best range!