If used properly, "SET KEY" will be always faster than "SET FILTER".

*--- #1 
SET KEY TO RANGE ke1, key2
SCAN
ENDSCAN
* is equivalent to
=SEEK(key1)
SCAN WHILE BETWEEN(key, key1, key2)
ENDSCAN
*--- #2
SETFILTER TO BETWEEN(key, key1, key2)
SCAN
ENDSCAN
* is equivalent to
SCAN FOR BETWEEN(key, key1, key2)
ENDSCAN

The #1 will neverbe slower than #2.

>The Online Help explains it very well but I would summarize the difference in 'Set Key' command has to have a tag/order set on the expression, 'Set Filter' doesn't. You will find that 'Set Filter to' expression is faster when the expression is optimized.
>
>I think most developers prefer for 'Set Filter' command because of its flexibility.