If the initial program is indicated, the system will automatically run this program (no parameters allowed) when the user signs in. The only times that I have seen this used a)was many years ago when we were still using dumb terminals and we had a situation where we wanted to display a self updating screen of information-that is all that station was for. b)we had a program that ran menu security.
The initial menu option will use this as the users default menu. I do see this normally filled in for most users. When the user signs in, this is the menu that they get. Depending on application, in many cases the users can run what options that want depending on other security measures.
Limit capabilities has to do with command line access and specifies the limit to which the user can control the program, menu, current library, and the ATTN key handling program values. Where I have worked, for the majority of non-IT users this has been set to *yes (they cannot do any of these things) for a few it has been set to *partial so that they can do a couple of commands.