Spock: can an interaction defined in setup() be replaced in a test case?

That’s a tricky one. As stated in the docs, interactions declared in a then-block have precedence over interactions declared earlier. However, interactions declared in a then-block are scoped to the previous when-block. (This allows to have multiple when-then pairs.) Hence your last try doesn’t work, but the following will:

def setup() {
    bar.message >> "hello"
}

def "say goodbye"() {
    when:
    def msg = foo.message

    then:
    bar.message >> "goodbye"
    msg == "goodbye"
}

I agree that it would be good for interactions declared in test methods to always override interactions declared in setup methods. Anyway, a good alternative to overriding interactions is for each test method to call a helper method that sets up the expected interactions for that test method.