Setting the rotation just put in you rotation.
the add relative, will add the rotation you give to your actor rotation.
Lets talk to put this in a thick event .
Using Set actor rotation (0,0,1)
This will set the rotation of your actor , to 0,0,1, again and again , Always to 0,0,1
Nothing will change.
Using Add relative rotation (0,0,1)
This will add , 0,0,1 to your actor rotation, going to 0,0,1+ 0,0,1 = 0,0,2---- 0,0,3---- 0,0,4
in a normal event, that run just for once , you just turn your actor of 1
if you use this in the tick event, you will see the actor Rotate on his Z.