res.setHeader() is a native method of Node.js and res.header() is an alias of res.set() method from Express framework.
Documentation:
res.setHeader(),res.set()
This two methods do exactly the same thing, set the headers HTTP response. The only difference is res.setHeader() allows you only to set a singular header and res.header() will allow you to set multiple headers.
So use the one fit with your needs.