Haha, you actually think that just going into the Control Panel is sufficient to get the resolution set on a Windows installation? Oh no. No no no, no, that's not all, my friend.
So, let's take as an example my TV. I have a computer attached via HDMI to the TV. It picks a 4:3 resolution and the entire picture is shrunken; it doesn't fill the entire screen. Annoying.
You go into Control Panel. Or perhaps you're a "power user" and you decide to directly right-click the Desktop and get at the Resolution settings. Either one. You scroll through the list of modes. There are three dozen. You try them all individually. None of them correctly fill the entire screen without letterboxing, and all of them look somewhat shrunken still.
You pull out the TV's manual, sighing. Flipping through the pages, you finally find the one that lists the rather arcane timing numbers for the TV. Sure enough, the widescreen mode that this particular TV would like is not listed. You go back to your Control Panel, and decide that it's time to go into the driver-specific settings, promising yourself a cold one later.
Scrolling through the entire driver's settings panels, you eventually find information on over/underscan. For some unknown reason, the system has decided that your TV needs its scan adjusted by 8%. Setting it back to 0% unshrinks the display. Excellent. However, the mode is still wrong.
You continue to hunt through the driver's configuration, finding two spots where resolution can be chosen from a dropdown but no way to enter in manual timings. Rolling your eyes, you go through each of the three dozen possible configurations again, manually noting how close each one comes to filling the display and how badly the fonts are misrendered. Finally you come to one that nearly works, and resign yourself to having a slight letterbox on the top and bottom of your screen.
Meanwhile, that Linux laptop you have correctly finds the resolution on the first try, without any configuration needed. Your Linux workstation has the same problems as the Windows machine, but with a couple minutes of xrandr and Google, you've found a way to turn those arcane timing numbers in the TV's manual into a mode, and saved a shell script to do it for you should the need arise.
tl;dr: How do you change your screen resolution for Linux with Xorg? You don't need to, usually! If you do, xrandr. That's all.