>All of the set commands are scoped to the data session. Creating a private data session means all of the set commands are reset and have to be set again.
>

Not all, but many are - there's a clear list of the ones that do scope to the datasession in the VFP docs. A few notable ones are globally scoped, like SET ASSERTS, SET STEP, SET TRBETWEEN, SET PRINTER, SET CLASSLIB, SET PROCEDURE, SET UDFPARMS...