Furnaces are equipped with multispeed fans so you can have the proper CFM ( cubic feet per minute ) for the square feet of space and the duct arrangement. The install manual for the furnace probably has some CFM / fan speed charts. The classic example is Phoenix, where you might need only a 45000 BTU gas furnace, probably low fan speed, for heat, but for A/C you might need a blower with the 4 ton capacity, running high speed. By the way, how many thousand BTU is the furnace?
If you are happy with the performance, I would not try to tweak it.
You could not damage anything by changing speed....after all it is the same system running on high speed for A/C. If you upset the balance, the efficiency might be affected, either postitively or negatively.