I and many others have tried to address the baffling connection made between Setesh and Yahweh, in sometimes quite esoteric ways. To anyone even vaguely familiar with these gods, the idea they are the same being is beyond reason, there's just no possible way.
Well as it turns out, the solution may be rather simple. Setesh became associated with Yahweh long after his demonization, after the Set-animal had vanished and he became more associated with donkeys, after he'd become equated to Apep and seen as evil. To late period Egyptians, Yahweh was simply a foreign god they didn't really like, so he became associated with the god of foreigners they also didn't like. It is likely the connection is as simple and meaningless as that, and like calling polytheistic beings “demons and devils,” the connection is just as meaningless and inaccurate.