It wasn't until I was in makeup school that I found the need for a setting spray. Sure, I've read about it but I wasn't all that interested because it sounded like a gimmick. I'd like to think that I'm more of a "to see is to believe" type of person.
We were required to use this in class because it (was explained to us) this works like hairspray. It keeps makeup in place for hours on end. We used this before applying primer and as a final touch. If your makeup looks cakey, this helps in hydrating the face - allowing products to blend in seamlessly.
My impression was that it would feel heavy, as if wearing the mask. But it's actually non-sticky, moisturizing and has a light, pleasing scent which fades after a moment. It wears comfortably.
So if you feel you don't have the need for a setting spray, think again. This non-believer is now a convert. I use it on my clients and myself.