As far as setting the gain of the master/speaker amps, it really depends on the unit. Technically, yes, you're correct about the behavior of the gain control on them. That doesn't mean there isn't a component somewhere else within the amp's circuit that couldn't be affected by the master gain setting (pretty rare, but it can happen). From my experience in live audio situations, the main reason to keep the master amps away from max was only to help protect the speakers in case of power spikes, signal pops and the like. You have a higher chance of damaging the the speakers when their amp is turned all the way up. This is more of a concern in live venues than it is in studios.
As far as distortion, it can occur nearly anywhere in the chain: mic (that's why they have dBSPL ratinggs)ratings), preamp, mixer, outboard gear, amp or speakers.