Welcome to the community!

Your guess is correct. The strategy closes a position ether on SL or when there is a satisfied closing condition, which happens first. An important difference is that the SL is set on the broker and it can be activated if the internet or the local machine fails and the expert doesn't run. The SL is the ultimate protection when the market goes against the position.

The Stop Loss: May Use options is only for the Generator. When May Use is selected the Generator tries to find best strategy with or without SL. You may see strategies in the Collection with and without SL.

Firstly, would like to say hi as this is my first post, I've read the guides and searched the forum but struggling to find definitive answers

If I use Stop Loss - Always Use combined with a strategy exit rule what will happen, I'm guessing that the first to trigger wins rather than one having preference over the other?

What does or Stop Loss - May Use mean, is that just for strategy generation, so that strategies can be  generated with or without a stop loss, or is it used in the logic of finished EA somehow?

Thanks,
Ash