You don't need to care whether the screen size of the phone is bigger than your desired resolution (AndEngine can enlarge your scene) or smaller (AndEngine can shrink your scene). You place your sprites at coordinates in your resolution. However you still have to hint AndEngine how should the resulting picture be scaled (if at all). And that's what Resolution Policy is for.
You might want to have multiple sets of textures for let's say two or three typical resolutions. For example low-res, normal and HD textures. But that is a more advanced topic.
