Sensitivity ("Q" in radio terms), not selectivity is more important in DXing FM stations.
Wide/Narrow is more a function of selectivity, the ability to separate stations that are next to each other on the dial. In a non-crowded area this can be a benefit.
The "wide" setting will allow a wider bandwidth, generally providing a wider range audio signal to be received, at the sacrifice of some sensitivity.
In technical terms, the narrow setting provides a higher "Q", which can be beneficial for DXing FM stations.