Where did this new WiFi network with SSID 'SETUP' come from?
This could be the network for a wireless printer. Its possible that someone nearby has bought a new printer with wireless functions.
Why don't you unplug your router and check to see if SETUP still appears on your MBP. If it does then it belongs to someone else near you.
It turned out that our Brother laser printer was responsible. Turning off wifi or properly configuring wifi helped to eliminate the "SETUP" wifi.