You should enable it on both WAN and LAN interface zones.
As for Prevent All and Detect All - I would suggest enabling Detect All for all three priority attacks and Prevent All on High and Medium attacks. I find that I get some cross VPN Active Directory replication issues when I have low priority attacks prevented.
Of course the best method is to Detect and Prevent all attack classes and then, using the log viewer, selectively disable prevention on the low priority, legitimate traffic you see.
hope this helps,
Oscar.