Installation gets the theme working. Setup makes it look intentional – I work through every setting the theme offers and configure it properly.

A theme comes with options – sometimes dozens of them. Colors, fonts, layout choices, widget areas, navigation styles. Most people never touch half of them because it’s tedious and easy to get wrong.
Using the theme’s native options, I go through every relevant setting and when I’m done, the theme looks like its own demo but adjusted to your branding – coherent, polished, ready for content.