So since there is no difference between that two extreme presets, does it make any sense to use them, if Auto mode (the first image) already looks fine?
That depends. If you are interested in the artistic side of photograph, experimenting with different setting just to see what effect they have on the photograph makes sense. However, if it is just too time consuming to change settings, then just taking photos on Auto mode will help you. On Canon (at least the 550D, I assume it is the same for others) it is possible to change the settings on auto mode by rolling the control wheel. THer MAY be a similar thing available on Nikon that can allow you control over the depth of field and exposure time, while still gaining the benefit of Auto exposure. You can also use the Aperture priority mode, which is the A option in the MASP secion of the dial on the top of your camera.
Below is an explaination of why you see no difference between the photos in terms of focus
When you are a large distance from your subject, the Depth o Field (i.e. the area that is in focus) in the image becomes quite large, even with wide apertures (i.e. small f/ number). In fact, once you focus past the hyperfocal distance, everything from a point between you and your subject and infinity is in focus.
For your lens and camera this distance is about 7.2 metres at f/4. Since the buildings are MUCH MUCH more than 7.2 metres away when you focus on them, the vast majority of your image is in focus (from about 7 metres to infinity, assuming the buildings are 500m away). Since a smaller aperture produces a larger depth of field (given the same conditions and other settings) at f/25 the hyperfocal distance is 1.2 metres and your Depth of Field would be from 1.1 to infinity.
Since the entirety of your scene is within your depth of field both times, you will not be able to tell the difference between the apertures based on focus. However you may be able to tell the difference with other factors produced by different apertures.
To calculate these distances I used this calculator.