The reason it costs less momentum to set than to remove is because your opponent doesn't know if/when you're going to set rocks. If I bring in Lando, you can guess that hey, he might set rocks. But he also might EQ, knock off, u-turn, SD, rock polish, explode even? So you very well could make a play you think is optimal based on your guess that Lando is going to set rocks, like hard switching to fini on that turn. BUT then, hey, it used knock off instead, and now your fini went from having semi-reliable recovery to no recovery.
If, on the other hand, the Lando does rock as you guessed it would, then YOUR next move is obvious. You're going to defog. So now, fini is clearing both your hazards and mine, and I get a free switch into whatever I want.
That's a 1 turn gain. By that I mean, in the original scenario we had Lando vs some Other Mon. I want to get my sweeper in, but hard switching into this Other Mon is a bad play. So, instead I set rocks, you bring in fini, you defog as I go to my sweeper, and now I have my sweeper in for free AND get a free turn of setup as you switch fini out.
In summary: the turn you set rocks does not necessarily result in you being left in a bad matchup, because they don't know you're going to set rocks. The opponent must predict perfectly to achieve that scenario. BUT, when you bring in your defogger after I rocked, I know EXACTLY what you're going to do, and it's much easier for me take advantage of that. Ryolain really put it best when he said that removing hazards is, by definition, a reactionary play, and thus is categorically a defensive play, implying the removing side does not have the momentum.
-removed the rest of the quoted post cause I agree with it.
EDIT: here's a replay to demonstrate what I mean. Granted, it's not high ladder or an exemplary game in any way, but it makes clear what otherwise might be confusing from the wordy paragraph above. In this replay, I lose 3 mons setting rocks (dude got good rolls all around), all appears to be lost, but wait! As soon as rocks are up my dude goes to fini. On the turn he defogs I go gyara, and get a free DD. assuming none of his mons were scarfers, it was over right there regardless of what he does next. I grabbed a second dd just in case tho.
http://replay.pokemonshowdown.com/gen7ou-530510245
here's another, the sweep was ended by scarf-orus but the defog bait is clear
http://replay.pokemonshowdown.com/gen7ou-530911397