A Setlist is a custom list of Pieces. You can use Setlists as folders to organize your Library, to prepare a concert program, etc.
A single Piece can be added to several Setlists. In this case, when you annotate a Piece in one of your Setlists, the changes will appear in all of the Setlists containing the Piece (as well as in the Library).
If you wish to make your Pieces independent across Setlists, you must duplicate them before adding them to Setlists.