The advantage of heat setting (from SMI Handbook fo Spring Design) is that it removes the usually large first-stage relaxation that occurs when springs are heated above certain limits.  It also can establish a favorable residual stress distribution, which will lessen the influence of relaxation.  In some cases, the latter approach can be so effective that, in application, compression springs may "grow" or exhibit negative relaxation.  Increase in free length does not usually exceed one to two percent.

The disadvantage, is that it is more costly than setting at ambient temperature.  However, it can result in a spring that is less costly if Cr-Si alloy steel can be made to work when otherwise a more expensive grade would be required.