The most common and most likely answer to this crossword clue is the 8 letter word WHOOPSIE
I've seen this crossword clue in Independent
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More clues leading to the result WHOOPSIE
Buddy explains!

The straight part
We know that "(dog) mess, (i.e.) of a setter, say?" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case (dog) mess, (i.e.) of a setter, say? = whoopsie.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.
Crossword Answer definitions
WHOOPSIE noun- A piece of excrement.
- A homosexual man, especially one who has camp mannerisms.