Component height is an important component property that is deeply attached to it. In earlier versions of ODB++ this property was just a number without unit. Since PCB-Investigator needs a unit for certain features like the 3D visualisation it assumes the unit "mils" by default. The Change Component Heights dialog which can be reached by Developer » Component Heights is a fail-safe that allows you to change the unit if it is falsely assumed by the program. Please note that this option only affects the component height property.
With the Filter option you can handle components only on active layers, only selected components or all components.