When a build tool executes in SlickEdit, vsbuild is invoked in the Build window shell and vsbuild spawns a new process that will execute the command-line. The environment variables that get set are only set in this spawned process and they are gone when the command and vsbuild terminate. This is very much, by design, and it does differ from previous versions of SlickEdit. In earlier versions, some build tools would execute directly in the process shell and some would handled by vsbuild. Now every build tool is handled by vsbuild by default. In previous versions, Set Env script must have been executed directly in the process shell, and the vsbuild would then inherit the enviroment.
The simplest solution is to set your Build tool command to call a script that first invokes your prep script, then invokes your build script. You could also use Project Properties > Tools> Advanced... > Set Environment Variable to manually set them. These vars will be set in vsbuild when it executes the tool. You could also set the enviroment vars in Workspace Properties > Environment....
If none of those work, there is an option to force the tool to not use vsbuild and to execute directly in the process buffer for legacy support. It does require manually the project file (.vpj), as there is not a GUI option in Project Properties. The project file is XML, so it's fairly logical to navigate. You'll need to find the specific <Target> by name that you need to modify in each configuration (tree looks like this <Project><Config><Menu><Target>...</Target></Menu></Config>...</Project>). Add this attribute to the Target tag, NoVSBUILD="0". Should look like this:
<Target
Name="Set Env"
MenuCaption="&Set Env"
RunFromDir="%rw"
NoVSBUILD="0"
CaptureOutputWith="ProcessBuffer">
<Exec CmdLine="setenv.bat"/>
</Target>
Try one the solutions, let us know if they work for you or if you have any other issues.