Setting time of a LO
The 'setting time', or more often the 'settling time', means exactly what you want it to mean. Different applications have different requirements, and it's only in the context of the application that you can derive a suitable specification.

For instance, for a narrow-band voice FM transmitter or receiver synthesiser, settled to within 1kHz error would probably be sufficient.

For a wideband system like the 5MHz channels in 3G, where the demodulation is done digitally, and large doppler has to be accommodated, I would expect 10s of kHz error should be tolerable, but if the error budget has been written to allocate it all to doppler, then it could be less.

I worked on a coherent LO recently where the specification was to settle to within 0.1 radians of its final phase. 

Depending on the detail of construction of a particular VCO or synthesiser, you might have rapid settling to within one spec, and then a longer 'tail' towards a tighter spec. Just because one LO is faster than another to one spec does not mean the same will be true at another spec.