There is a significant difference between setx and set function:
set takes effect in local cmd context. Meaning once you exit or close the cmd window, you lose the environment variable.
setx takes effect in future cmd context. So you won't see the environment variable and its value in the current cmd. You need to open a new cmd window to see it.
If you want to use it global and immediate you should use both functions side by side.
Description taken from: http://batcheero.blogspot.de/2008/02/set-and-setx.html