You're in kPa mode still.
Do this first:
Turn it to OFF mode. Now hold down the select button, and within 2 seconds press the mode button 2 times.
Now you're in psi mode rather then kPa. Be aware that the psi is shown in x10 value. Therefore a displayed number "174" is indicative of 17.4 psi.
Now "set" is your boost level. It is displayed as a percentage as it controls the duty rate of the solenoid. 0% is stock boost and 100% is death to everything. Start low and adjust accordingly.
"Gain" is your boost consistency (solenoid sensitivity). The manual explains that if your boost is spiking, lower the gain. If your boost increases with rpm or falls off at high rpms, raise the gain. Also note that even if you don't change your "set" level, increasing gain can increase boost pressure.
Now for your question. "Set gain" is your boost response mode. Basically, it controls when your wastegate starts opening. This option is set according to psi, assuming you have switched it over to psi mode already. If you set the set gain too high, you will risk spiking/overboosting. If it's set low the wastegate will open more like normal.
Personally, I set my set gain higher (about 6psi when max boost is 12psi) on my "Hi" setting to get that punch, and I set it lower for my "Lo" setting, for DDing where I often only boost a few pounds around town, from light to light. That gives it a smoother powerband imo. All this is on a 7M w/ stock CT. Adjust accord to your setup.
Anyway, if you need to know anything else about it just ask, I've got the manual in hand.