You should change it by running chsh -s /path/to/the/shell/that/you/like and then logging out and logging in again. You should NOT do it by configuring the "Shells open with: Command (complete path):" setting in Terminal.app settings.
If you attempt to change it by configuring the "Shells open with: Command (complete path):" setting in Terminal.app settings but leaving your default shell as is (that is, not running chsh -s /path/to/the/shell/that/you/like), you will be in a world of pain. You will keep having inconsistencies between the behavior that you get on Terminal.app vs. the behavior of the (other) apps that you use, since the (other) apps that you use will honor the default shell configuration that's set by running chsh -s /path/to/the/shell/that/you/like. The "Shells open with: Command (complete path):" setting in Terminal.app settings is completely irrelevant for the (other) apps that you use.
By the way, an alternative to running chsh -s /path/to/the/shell/that/you/like is to:
- Open Sys