How does one determine which rate to select?
10%, 18%, 21%...etc.

Since AZ calculates income tax based on your Federal AGI, withholding is calculated as "if the Fed takes X dollars each paycheck, I want the state to withhold 21% of X each paycheck"

It's odd. I know.

Maybe a dumb follow up question but, would it be more advantageous to withhold more or less of what the fed takes?

by having the state withhold the 28% of fed bracket.