When you set up a bike's derailleurs you dial the derailleur's position relative to the cog set to maximize the performance of the shifting system and if you re-install the wheel in a different position this will affect the fine tuning of the rear d and change the chain tension.

The set screws ensure that the wheel goes back in the same position and that it will be properly aligned in the frame and when you are setting up the bike you can use these set screws to make very fine adjustments.

It is something you only find on higher quality frames with cast dropouts... lesser frames often use a backstop for the drive side and the wheel gets aligned by shifting the position of the axle on the non drive side.