Just type "wifi scanning" into the Settings search bar: that's the easiest way to get to it. The toggle is about 3 sub-menus deep under Security & location > Location > Scanning.
On or Off is only good or bad depending on your access to secure wifi networks (like at home or work) and your level of paranoia re. your phone always tracking your location. I have both wifi & bluetooth scanning turned on as well as all of the toggles under wifi prefs. I even have the wifi assistant turned on, even though I rarely use any of the public wifi networks it finds.
I haven't noticed any battery drain because of all the scanning, and I never have to check to make sure that I'm connected to a trusted network when I change locations.