Powder absorbs; spray binds. Loose powder takes oil out of the surface so the base does not break up over it, and it is pressed where you actually shine, which makes it a targeted job. A setting spray is a mist that pulls the whole face into one layer and takes the powdery look back off. They are not alternatives. If you are oily, the powder is the one solving your problem; if the base is holding but reads as makeup rather than as skin, the spray is. Buying one when you needed the other is the usual reason neither seems to do anything.
Do you need both setting powder and setting spray?
The order is base, then powder only where you shine, then spray over the whole face: the powder does the absorbing and the spray takes away the dusty look the powder leaves behind. If you are only going to own one, own the one that matches the problem your skin actually has rather than the one that appears in more videos.
What neither of them can do
Neither will rescue a base that was wrong underneath. If foundation separates in the same place every time, that is a skincare or a formula mismatch, and nothing laid on top of it will hold it together.