... how important is Damping factor in determining what amp to buy

Folkfreak, I couldn’t find any indication of the specific damping factors for the four settings provided on your amp, as you couldn’t, but I did find this statement in the datasheet (which you’ve undoubtedly already seen):

Another new feature is a user adjustable Damping Factor feedback control that allows the user to adjust the amplifier’s output impedance by varying the amount of negative feedback. Impedance can now be precisely set to suit the listener’s taste, and to improve control of the loudspeaker loads to deliver best performance. The 4 possible settings are:
1. LOW -- Lowest damping factor, good loudspeaker control, most natural sound.
2. MED -- Better loudspeaker control, with some impact on sound quality.
3. HI -- Best loudspeaker control, with a little more impact on sound quality, but on speakers that need the control the sonic improvement is clear.
4. MAX -- Maximum damping factor, but sonic impact is noticeable

So since the amp’s damping factor is being adjusted via feedback, changing the setting can be expected to affect sonics in ways that are in addition to the change in damping factor itself. Most likely including changes that occur in the amp’s distortion characteristics. The "Low" damping factor setting, btw, is undoubtedly the one which utilizes the least amount of negative feedback.

Also, given that it is a tube amp I would expect that the damping factors corresponding to all of the settings would be at most not a great deal more than single digits, perhaps 20 or so at most. Which per my earlier comment would make it very expectable that sonics would change significantly among the various settings.

In any event, it certainly looks like a very impressive amp!

Regards,
-- Al

Almarg -- and it also affects the input sensitivity -- there's a nice discussion (extracted) in this review of these amps
http://www.theaudiobeat.com/equipment/vtl_mb450_iii_mb185_iii.htm

What’s the significance of adjustable damping factor? Far greater than you might imagine. The clue lies in the fact that it is derived from the degree of feedback, the higher the feedback level, the greater the damping factor. In this day and age it is easy to assume that all feedback is bad and that the less you have the better, but it isn’t actually quite that simple. There’s a world of difference between local or nested feedback (used within a circuit) and global feedback (that encloses it entirely). While feedback-free preamps are all the rage, feedback is critical to a power amplifier’s damping factor, just as Q is critical to a speaker’s voicing. Between the two, these factors have a huge influence over amp and speaker matching, and as Q is generally a fixed value (unless you happen to be using the large Focal Grande Utopias, with their adjustable-Q EM drivers) then being able to adjust damping factor to achieve superior matching is a major benefit, significantly broadening the type and number of speakers with which the amplifier can achieve really good results.

VTL offer four settings for damping factor: Low, Medium, High and Max. With any given speaker you will find that one setting is dramatically more musical, dynamic, involving and better integrated than the others. In my room and in most cases, I settle on either the Low or Medium setting. Those who crave a drier, more heavily damped sound might opt for the high setting, especially if the speakers are a little loose in the bass or the room is exaggerating the bottom end. I can’t really see anybody needing the Max setting, but it serves a useful purpose in establishing the continuum along which you are operating. Once you’ve heard what Max does to the music, you’ll treat the setting of the amplifiers’ damping factor with the appropriate caution and seriousness. It not only has a huge impact on performance, it offers a huge advantage in terms of choice and your amplifier’s longevity, should you (or should that be, when you) change your speakers at some point in the future. If the amp/speaker interface is the single most critical junction in your system, the Series III Signatures pull the neat trick of offering genuine adaptability, a serious benefit that’s not to be overlooked.

The VTL  data sheet states that the lowest DF setting is the most "natural" sounding. This seemingly implies that the less negative feedback the more natural it will sound. Larryi this correlates with your observation mentioned above. 
Charles, 

how important is Damping factor in determining what amp to buy

About as important as what color the amp is.

It's important enough to take into consideration along with everything else when trying to achieve a particular sound.