When we studied diamond setting at Bowman Tech we learned on fragile rhinestones, mostly about 5mm in size, if I recall.
The fragile glass taught us to be careful, and work gently.
The larger stone size meant that we could see metal to stone contact points well while learning and practicing techniques.
I cannot see how any particular size is important, but I would pick one size, and practice all of the setting styles you wish to master on that size stone. Once you begin to become confident with the skills you are learning they will translate to both larger and smaller stones.
This allows you to begin to practice all of the skills with just a small selection of burrs, and one pile of inexpensive practice “stones”.
I will suggest that there are a several very good videos by Blaine Lewis, on various setting styles, as well as some very instructive essays on this site, by Gerry.