It’s chief effect in gameplay terms is to make it harder for the Axis to build/support a med fleet in the deep endgame. Particularly in cases where Japan manages to take the Caucasus, or has parked a fleet in the Med, since they don’t have the black sea safe zone to build. This is the kind of thing that usually doesn’t become a factor until Moscow has fallen. In rarer instances it prevents the Allies from dropping on Ukraine/Caucasus (again usually after Moscow has fallen) in an attempt to sneak in a wedge, or see the formerly Soviet territory come under Western control.
In the opening rounds it prevents Germany from making amphibious drops into Ukraine, or attacking Caucasus directly, which in turn means that the Russians don’t have to defend it quite so heavily.
I think for game balance it’s probably better closed, though most players I’ve gamed with seem to leave it open. Whether you play Open or Closed, or with interceptors on, is something that should be determined before bidding for Allies, since it can have an effect on how the Russians open (e.g. how much emphasis they need to put on a Ukraine opener.) The Ukraine strafe/take by the Soviets is much more attractive, if there is no threat posed by the German transport in the med.