Using set statement, you can't set more than one value where as in select we can set more than one value. So we can achieve it in a single line of statement to assign values to multiple variables. Performance wise there will be a very very small change and it's good for select.
-- Set statement in SQL Server
declare @val int=0, @val1 int
print @val
set @val=1
-- set @val=1,@val1=2 (You can't set multiple values)
print @val
-- Select statement in SQL Server
declare @val int=0, @val1 int
print @val
select @val=1,@val1=2
print @val
Cheers,
Venkatesan Prabu .J