If you're converting from NEF files, it's true it doesn't matter what the camera is set to as far as color space...you *can* always change it.
But, what you do when you set it in the camera is give a signal to the software that you wish to begin the color management process when you take the image, and you want to use that color space from capture all the way to output.
Also, on many newer DSLR's, you have the option of shooting RAW+JPG. When you select the color space, you are processing the JPG and tagging it with the selected color space, which cannot be changed later.
Like I said...stay away from anything with sRGB in the name. If the images shot in that color space look the best to you on your system, you do not have a color managed workflow that is calibrated.
You have opened a can of worms that is worthwhile to understand, learn and implement...but for most people not worrying about it is easier.
The fact that you are shooting in NEF and asking about color space tells me that you want to take it a step further.
Here's a short document I prepared last summer for my students taking my basic digital/film photography class.
Color Management Basics
Here is a downloadable version.
This was written when the latest version of Photoshop was CS, so the menus may have changed slightly. Please forgive...