If you are not bluffing, there is very little reason to Set a Spell Card that is not a Quick-Play Spell Card. You can not activate it during your opponent's turn, and while it is face-down on the field it is vulnerable to being destroyed by "Mystical Space Typhoon", etc.
The only other time to Set a Normal Spell Card is when it is safer on the field than it is in your hand and you want to save it for later. This would be the case if your opponent has a card on the field that keeps forcing you to discard.