I don´´t know as we don´t use the expression "set-down" in this way any more. My best guess is that it is a "put-down" which is a comment (often an understatement) designed to humiliate someone. The speaker is addressing someone who perhaps is well known for her ability to produce this kind of comment which is why he says "one of your set-downs". I may be wrong so would be interested to see other answers.

This isn't an expression used nowadays, as far as I know. I would guess that it is the equivalent of a 'put-down' in modern English, which is a critical remark intended to belittle somebody.

Let's look at more of the context. This was spoken by Ms. Bennett to her husband, Mr. Bennett, after a ball in which Mr. Darcy snubbed her daughters. As Mr. Bennett has a talent for using words to indirectly influence others, Ms. Bennett uses "set down" to indicate words that Mr. Bennett would tactfully use to "put" Mr. Darcy in his place to knock him off his "his high horse". Someone else might do this by using rude words, but Mr. Bennett would find a more amusing and sophisticated way to get his point across.