Setts kit right now, over all, is surprisingly balanced out. His W is quite powerful, I definitely agree on that since the shield is just way too large.
However, I think this can be fixed by doing one simple thing: Moving a lot of that power from the W to his ultimate.
Right now his ultimate is sort of lack-luster. It feels like a worse version of Vi's ultimate due to it's incredibly short range. Since he has no way to really close the gap between people reliably (Other than his Q, but that's just really easy to kite out honestly), it makes the ult sort of useless for its intended purpose which is to be used as an initiation by grabbing a beefy opponent and slamming them into the enemy team. But even most tankys honestly out range Sett or outright just ignore him. Cho'Gath can silence him when he tries to walk up, Sion can kite him away with slow/knockup, Ornn can literally just say "No." Mundo can just walk away.
So, I feel like what should be done right now is reducing the shield he gains from his W to around 30%-35% and increasing the range of his ultimate by, I personally would say at least 50%. His ultimate is his only real gap closer since his E is just way too small and his Q is simply too slow. Making his R a more reliable gap closer would solve the issue of its clunky usage and lowering the shield of his W would make him a lot less excruciating to play against in lane.
I will admit though, it's kinda funny having someone fight you only to get absolute decked in the face by a fully charged W. That's satisfying as ****.