Calling SET NAMES on the connection is equivalent to calling set_charset, provided you call neither get_charset nor mysql_real_escape_string (and friends).
When you call set_charset, PHP does two things. First, it calls SET NAMES on the connection. Second, it remembers what charset you set. That state information is later used only in the get_charset and mysql_real_escape_string (and friends) functions. Therefore, if you don't use these functions, then you may consider the two equivalent.
Let's walk the source:
- Userland functions mysql_set_charsetandmysqli_set_charsetcall...
- Engine function mysql_set_character_setcalls...
- Engine macro - mysqlnd_set_character_set, which is defined as:
 - #define mysqlnd_set_character_set(conn, cs) \
    ((conn)->data)->m->set_charset((conn)->data, (cs)))
 - and expands to... 
- MYSQLND_METHOD(mysqlnd_conn_data, set_charset)which contains the following code (numbered for discussion, these are not actual source line numbers):
 1   if (PASS == conn->m->local_tx_start(conn, this_func)) {
 2      char * query;
 3      size_t query_len = mnd_sprintf(&query, 0, "SET NAMES %s", csname);
 4 
 5      if (FAIL == (ret = conn->m->query(conn, query, query_len))) {
 6          php_error_docref(NULL, E_WARNING, "Error executing query");
 7      } else if (conn->error_info->error_no) {
 8          ret = FAIL;
 9      } else {
10           conn->charset = charset;
11      }
12      mnd_sprintf_free(query);
13 
14      conn->m->local_tx_end(conn, this_func, ret);
15   }
As you can see, PHP calls SET NAMES on the connection itself (line 3). PHP also tracks the charset just set (line 10). The comments further discuss what happens with conn->charset, but suffice to say it winds up only being in get_charset and mysql_real_escape_string (and friends).
So, if you don't care about this state, and you agree to use neither get_charset nor mysql_real_escape_string, then you may call SET NAMES on the connection itself with no ill effect.
As an aside, and I've never done this, but it looks like compiling PHP with -DPHP_DEBUG=1 will enable substantial debugging through various DBG macros. That may be useful in seeing how your code is passing through this block.