It's not that it's not set before it gets used a bunch, it just locks up with a bit more finality after being climbed on a bit. I've always been told that, for example, once a double braid line has been exposed to working loads for a while, even under no load it's not in the danger of coming undone that it would be right after being set during the splicing process. In both cases it's a set rope, but to me that distinction suggests that the degree to which it is "set" changes.
That is at least a mix of what I have been told and what I have observed. Especially seeing how increased forces will lead to greater constriction around a splice, despite having a splice fully set by splicers prior to whipping or lockstitching them. I wish I had an actual explanation for you instead of this jumble of loose empirical assertions... You may be completely correct that there is no difference, but going off what I've seen, especially in cycled break testing, there seem to be degrees of setting in splices.