On set lists, “DJ Set” indicates that the artist(s) will be mixing pre-recorded music, not creating music or incorporating live elements (such as instruments, vocals, drum machines, etc.). This term usually appears when the artist(s) are known for performing with elements beyond the traditional DJ setup.
You can think of the term DJ set as being the opposite of a live set, in which the artist will be performing some elements of the show live onstage. (Another term for a live set is “live PA,” or live performing artist. While this terminology is still used, Google Trends indicates that it is not as common as the term live set or liveset.) Similarly, the term “vocal set” indicates that the performer will be singing in addition to mixing a DJ set, but not incorporating other live elements.
In this 2010 post, the performing artist Quiet Entertainer outlines an episode in which a fan approached him after a DJ set, disappointed that he hadn’t performed in his normal live manner which incorporates performance art. Quiet Entertainer then vows to clarify on future set lists if he will be playing a DJ set instead of his normal live set (or live PA, as he calls it), to prevent confusion.