The finisher is more like a wax pencil with a bit of colour in it so it slightly colours your brow hairs as it sets them in place. The brow set is, in a very basic way, mascara for your brows. It coats your hairs with more product, has more pigmentation but, as others have noted, can flake of like some mascaras can.
I've been using Wheat brow finisher on my sparse and fine-haired Chinese brows and I like how it brings out my brows naturally. I don't have much hair on my head and it's quite fine, so to draw in brows on me looks really fake. I've been filling it in with the brow shader the last few months after using the finisher (sounds backwards, I know, but the shader grabs better with the wax there) and that's worked out nicely too.