Sounds like it's just syntactic sugar wrapping the vector/algorithm approach. Still, keeping the interface consistent is a nice touch since it would make timing the speed difference between the approaches similar.

I'd imagine that inserting everything via the set interface would be O(n^2 lg n). However, as stated in the link, you can use the "low level interface" (read: underlying vector push_back) to insert everything in O(n lg n) by only doing the sort once at the end rather than on every insertion.