To answer your first question, no the externally selectable power feature does not act as a regulator. Depending on which rifle, this feature either adjusts the hammer spring tension or the transfer port opening. So, usually you change power at the cost of air efficiency. Some rifles now have externally adjustable regulators also, so a more complete tuning can be accomplished.
An unregulated rifle will have a power curve that affords good consistency through a certain portion of its power production. A rifle that fills to 250 bar, might generate very good consistency from 225 down to 125, or 100 bar of air usage. If it uses 1.5 bar per shot, then you get around 70 good shots. If regulated, you can take advantage of the upper fill range. Assuming a reg set point of 125 bar, then you have 125 bar of efficient air use, or something over 80 shots. From 125 bar down, they will be the same. The number of acceptable shots might not be huge, but it's much more shooter friendly, since you don't have to be as concerned about monitoring your fill and watching the pressure.
With all the market demand for high end rifles, it has become assumed by many that a regulated rifle is required for top performance. Obviously, this isn't true, but it adds a dimensioni of convenience, and a small incremental increase in performance, in exchange for an additional mechanical feature that will require maintenance. I like them because I'm too lazy to micromanage the air.