I haven't knitted many jumpers with set-in sleeves, but I can tell you I find them a lot easier to fit into the sleeve head than sewing them in with a sewing machine. I thought it would the process would be similar, but no, not really.
Usually when I set sleeves with a knitted jumper, I start by joining the shoulder seams, then ease the seam in by pinning it at the top and each edge of the curve. Then I'd hand seam them and finish by sewing up the side seam and sleeve seams.
What I struggled with when making my first top was that the side seams are sewn up before you sew in the sleeve. Weird. You don't get anywhere near as much wriggle room and I definitely found it tricky to ease the sleeve cap in place and not get it all bunched up under the sewing machine foot.
I got there in the end, but I think I'm going to make a few more tops before feeling entirely comfortable with finishing them nicely!