There isn't currently an option to apply that setting to an entire setlist. I would have to add something like that to the audio player settings dialog. Having said that, if you configure the audio player to combine the audio tracks from all songs in the setlist, you enable "Automatically play next track", and you disable "Switch track when song changes", then you only need to start audio playback automatically with the first song in the setlist. The audio will continue playing as you switch songs.
Mike
Mike