I have planted shallots for the first time this past fall.
I deliberately picked the smallest ones (when separated),
Because I didn't want to spend too much mony. I figure, when you plant small pearl onions or sets, they will grow fine. The same logic sould apply to shallots which are technically onions. I am going to plant some more today, to see the difference between fall and winter planting.

I haven't heard that about shallots, but I have regarding potato onions. Also with garlic if you plant a tiny clove, often you will get a single jumbo clove (round) from it. In a similar way a small shallot/potato onion set may grow into one large shallot/potato onion with few offsets whereas a large set may produce a cluster with a greater number of medium sized ones. However a large set may result in a greater net yield per set, though to do this may require a greater spacing. Also larger sets would require reserving a greater percentage of your harvest for next year. A large shallot usually has 2 or more cloves inside, which may result in overcrowding, as happens with garlic if you plant an entire head.

I planted shallot sets this year and they were all small compared to shallots I see in the store, I don't know if that was to produce a superior crop or just to provide more sets/lb though.

As I mentioned, I separated shallts and planted the smallest bulbs that I could find. They are all up, 8- 10".
I hve some with one, some with two, some with three and few with four stems. What makes this variation, I do not know but I know that I planted very small ones. Freezing 15F temps did not kill them, only the most outer leaves yellowed. I have planted some about a week ago(not up yet).
We will see how those will do