I personally always use both, but it's more a matter of habit than it is practical in every case. Obviously, if you're going to put a roundel on a perfectly flat, glossy surface, you don't need to slosh Set and Solve solutions all over it, but I do anyway. The only thing I could possibly add to what Mike has said is that these different brands of setting solutions have different solvent strengths, and some are so strong they'll cause your decals to shrivel up and deform. Some decals, you should also be aware, naturally become wrinkled when you apply the solution to them, but don't try to fix that. As they dry, they generaly smooth out, and you will ruin the decals if you touch them while wet. I haven't encountered any like that in a while, so that might be old technology.
I've always dreamed of the perfect decal and setting solution: one that actually disolves the carrier film and turns the decal back into paint or ink when it is in placed on the model and doused with setting solution.