Update SETUP.md

[anargyri]

Description

Remove left-over reference to conda script that has been deleted.

Related Issues

References

Checklist:

• [x] I have followed the contribution guidelines and code style for this project.
• [ ] I have added tests covering my contributions.
• [x] I have updated the documentation accordingly.
• [x] I have signed the commits, e.g. git commit -s -m "your commit message".
• [x] This PR is being made to staging branch AND NOT TO main branch.