The setup tab allows you to assign a page to one of the core elements required for the plugin to function properly. You only need to use this tab, if you have accidently deleted one of the pages which is automatically created when the plugin is activated for the first time.
Assigning a page
All you need to do is select an already created page on your site from the dropdown and then save the changes for that page to be assigned to the UM core element. You will have to go to that newly assigned page and add the related shortcode.
NOTE: You do not need to change any of the settings on this tab. The primary reason for this tab is if you accidently delete any of the core pages installed by Ultimate Member