How fine you can spray is less dependent on nozzle size and more dependent on the taper of the needle and shape of the air cap. When a company sells smaller nozzle sizes it typically means the needle taper is more gradual as well, but it's not always the case.
The downside to a smaller nozzle (and assuming it has a longer taper on the needle) is you'll get paint drying on the needle more easily, so whether the smaller nozzle actually lets you paint finer detail depends whether you can still get paint through it at low pressure.
That's going to depend on your specific airbrush though. The 0.2mm option for my airbrush has such a gradual taper you can spray fine lines but paint just builds up so fast at low pressure that I can't practically use it for fine detail work. I find I do better painting fine details with my 0.3.
Depends on your airbrush. I have a 0.2, 0.3, 0.5 and 0.7mm nozzles for my airbrush and the 0.2 is the only one I never use. 0.3 for general detail work, 0.5 for base coats, 0.7 for heavier paints and primers.