Whether you need to set a VLAN ID depends on the physical network configuration. In case of untagged ports on the physical switch, no VLAN ID must be entered (EST). In case of tagged (802.1Q) ports, all network packets (except for the native/default VLAN) need to be tagged (VST), i.e. the virtual port group needs to have a VLAN ID configured.
VLAN ID 4095 is a special use case, where the network traffic is tagged by the guest operating itself (VGT).
For more details about EST, VST, and VGT see e.g. https://kb.vmware.com/s/article/1003806
André