‘Setting up’ is braking lightly as you approach potential hazards, giving you more opportunity and space to react to events.
The advantages of this are:
It prepares the rider. By recognising the hazard and taking preparatory action you will have more control and respond quicker.
It prepares the motorcycle to stop if needed without locking up the brakes and losing control.
It prepares the vehicle behind you, whose driver has been alerted by the brake light that you may be about to brake hard.