Where is set the active build configuration in Xcode 4
Just in case you still want to make a Distribution config (or other config--I still find them useful), after great length (read: searched in the help for 'duplicate'), I found this:
At first, they were all grayed out; this was because I had one of the targets highlighted in the editor (MFE, MFETests, etc.). If you highlight your project (as in the screenshot), they become enabled.
For part 1 of your question,
The configuration is set in the schema window. apple+shift+comma to get to the window. Or Product > Scheme > Manage Schemes from the menu bar.
In the window, click the type of build you want on the left panel: Build, Run, Profile, Analyze, or Archive. In the window tab usually, along the type, there is an option Build Configuration that can be set. Select Debug, Release, or whichever configuration you want there.
The exception if the build task. The build task uses whatever configuration is set for the Run task. Also, the analyze and archive tasks only have one tab, so using the info tab is not necessity.
Apparently, "build" is shorthand for "build for run"...