Before I write anything else, let me state that I do not know in what state of finality Setsuki's current model and textures are supposed to be, what it would cost to change them, or how well they are liked by the general player base.
I know a lot of work and money has been put into it and I don't mean to offend anybody by suggesting what I would personally consider iprovements.
Face and Make-up
I think her eye shadow (is that the right term?) makes her look older and meaner than she is supposed to be. Interestingly, she looks a lot younger during actual gameplay, when the makeup is less pronounced seeing mostly her profile.
I appreciate that the make-up attempts to capture her Yomi look but I think it is overdone here, especially in the horizontal dimension.
Her Yomi character card and her Codex art feature only little make-up, and are my personal favorites by far:
I have done a very rushed paint job for (A) removing her make-up completely and one for (B) making it less extreme towards the side of her face. I think both of these (more-so the first) make her look more youthful, as her narrative role suggests:
I'll be frank: I really dislike how her hair currently looks, and I think there are a couple approaches to improve it, that work on their own or in combination. The (badly) edited pictures I'll provide will partially build upon eachother, because it was convenient to make the edits like that; but they could be implemented more selectively if changes are still possible.
I think what seems so jarring to me is how separate every lock of hair appears, being colored individually and having outlines. Compare this to Jaina - her colored strands seem to be just texture work:
I think using the same approach for Sets - simplifying her hair into fewer shapes and adding multi-colored strands to their textures will go a long way. My paint.net edit of this is terrible, but I'll share it anyway just to communicate the idea:
This is probably the approach that would require the most work out of all suggestions in this post.
Another way to make her hair look a little less messy would be toning down the amount of color. Making it more consistently blue worked for her Codex art, though it's less true to her colorful Yomi hair. The edit below probably takes it too far, but you get the idea:
Option number three (displayed below combined with #2) is to reduce the amount of outlines effecting her hair inside of her silhouette. I suppose the shader could be edited to that degree?
It dampens the "colored dreadlocks" effects a lot in my opinion.
This is a way more minor thing to me personally, and I think possibly one of the harder things to change, but I would like to suggest to move her mouth more during her animations. While her art generally depicts her as serious/concentrating (angry eyebrows!), her mouth is open in almost all of her more detailed attack art, and I think it adds to her personality. She is noisy, despite being a ninja! It also makes her look younger:
I understand that her ground super is supposed to match her J art (pictured on the far right) where she is at her most serious, but I would consider opening her mouth the moment she dashes forward.
Foot and Idle Animation
I don't know exactly what is going on there, but her back foot (from her opponent's PoV) looks off in the idle animation:
Her ankle looks like it could be broken, but I think the culprit might be just her wrappings. They seem unnaturally stiff and slightly clip into her foot. I'm afraid this one would require a larger edit to her animation and possibly model though, so it may be a more epensive "fix".
Super minor thing, but the golden bits above her crotch are shaped vaguely like the hem of her shirt just above them. It looks a little weird to me and I have a hard time ignoring it.