I noticed there are "Client Settings" set for each User and Group in SCCM. I want all my "Client Settings" configured by Device Collections not User Collections, what can I do? Can someone explain the difference between those?

One is for user settings on a client and the other is for device settings on a client. As you can imagine user settings can only be deployed to user collections and device settings can only be deployed to device collections.

For more information about the user and device settings see: https://technet.microsoft.com/en-us/library/gg682067.aspx?f=255&MSPPError=-2147217396

you can configure all settings in client agent and deploy to device collections except below settings (these are applicable to users,so they have no effect on devices) :

Mobile Devices 
Enrollment 
User and Device Affinity 

similar way,you can configure only the above settings and deploy to User collections.