How to set cookie crumbs
When you bake a crumb crust, a few things happen. Related to "setting the crust" the baking step allows the butter to seep in to the crumbs, making the whole thing more of a unified unit. It also toasts the crust as a whole, giving the crust some imperviousness to the liquid in the filling, helping the crust to avoid becoming soggy before the whole cheesecake or pie is baked. Lastly, baking brings out the aromas of the ingredients in the crust. If you don't bake a crumb crust prior to filling, it'll just be butter moistened crumbs, not a "crust".