This is interesting, so here are some tests with output:
static void test(String... args) {
    Set<String> s =new TreeSet<String>(String.CASE_INSENSITIVE_ORDER);
    s.addAll(Arrays.asList( "a","b","c"));
    s.removeAll(Arrays.asList(args));
    System.out.println(s);
}
public static void main(String[] args) {
    test("C");          output: [a, b]
    test("C", "A");     output: [b]
    test("C", "A","B"); output: [a, b, c]
    test("B","C","A");  output: [a, b, c]
    test("K","C");      output: [a, b]
    test("C","K","M");  output: [a, b, c] !!
    test("C","K","A");  output: [a, b, c] !!
}
Now without the comparator it works just like a sorted HashSet<String>():
    static void test(String... args) {
    Set<String> s = new TreeSet<String>();//
    s.addAll(Arrays.asList( "a","b","c"));
    s.removeAll(Arrays.asList(args));
    System.out.println(s);
}
public static void main(String[] args) {
    test("c");          output: [a, b]
    test("c", "a");     output: [b]
    test("c", "a","b"); output: []
    test("b","c","a");  output: []
    test("k","c");      output: [a, b]
    test("c","k","m");  output: [a, b]
    test("c","k","m");  output: [a, b]
}
Now from the documentation:
public boolean removeAll(Collection c)
Removes from this set all of its elements that are contained in the
  specified collection (optional operation). If the specified collection
  is also a set, this operation effectively modifies this set so that
  its value is the asymmetric set difference of the two sets.
This implementation determines which is the smaller of this set and
  the specified collection, by invoking the size method on each. If this
  set has fewer elements, then the implementation iterates over this
  set, checking each element returned by the iterator in turn to see if
  it is contained in the specified collection. If it is so contained, it
  is removed from this set with the iterator's remove method. If the
  specified collection has fewer elements, then the implementation
  iterates over the specified collection, removing from this set each
  element returned by the iterator, using this set's remove method.
Source