Remember my buddy Dave got burned by a similar cheap setter last year. He was setting up a new job and scraped a whole fixture plate because his Z was off by a few thou. The lesson was to always check it against a gauge block or a known tool first, even if it's new. He ended up getting a used brand name one off a forum and it's been solid. That initial trust in the box is a killer.
Did you check the setter against a known standard or just trust the box? A lot of those cheap ones need to be calibrated yourself before the first use. I learned that the hard way too. What method are you using to set your tool length?