SET is "Suzuki Exhaust Technology," its a butterfly valve installed in your exhaust to increase exhaust back pressure under partial throttle and non-ideal exhaust flow conditions.
Basically as you turn the throttle, the valve opens and closes, its controlled by a small motor and a set of cables. As you pack on the miles, the valve can get out of sync via cable stretch, carbon buildup etc, this causes the FI light to come on.
Removing the SET valve PROPERLY has not shown to cause any ill effects to your bike in the long run and you won't throw that specific FI error anymore.
Like I said, I did this to my bike when I first bought it, 25000 miles later, no problems or complaints.
If you want some help just let me know, its about a 30 min job.