OK, OK, before anybody nails me
Of course the SET KEY is faster, it's not really doing anything - not until you perform some record pointer move like a GO TOP.
I changed that and got an average of .02 slower than the =SEEK(, "test", "pid") call.
I bumped it up to 1,000,000 records and tried it again.

** =SEEK() function with order set
** this was consistently faster than any other command
Locate: 22.96 seconds vs. Seek: 0.16 seconds.
Locate: 21.86 seconds vs. Seek: 0.19 seconds.
Locate: 21.98 seconds vs. Seek: 0.16 seconds.
Locate: 21.38 seconds vs. Seek: 0.17 seconds.
Locate: 21.47 seconds vs. Seek: 0.16 seconds.
Locate: 21.30 seconds vs. Seek: 0.17 seconds.
Locate: 21.27 seconds vs. Seek: 0.17 seconds.
Locate: 21.30 seconds vs. Seek: 0.17 seconds.
Locate: 21.36 seconds vs. Seek: 0.16 seconds.
Locate: 21.31 seconds vs. Seek: 0.17 seconds.
averages
Locate: 21.62 seconds vs. seek: 0.17 seconds.

Insanity: Doing the same thing over and over and expecting different results.