It's just using the 50uA across a set resistance to force a voltage at the set pin. This voltage is used as the reference voltage in the internal error amplifier.
It really only cares about the voltage there, so you can use your potentiometer with 2 ends at GND and +20V (for example) and feed the set pin with the wiper, the output of the LT3081 will follow the wiper voltage.
NOW... having said that, there is a problem with the LT3080 and LT3081 that has been widely discussed here on the eevblog (just search for it)... If the output is at 20V (and you have output capacitance holding it there), and you change the SET pin voltage to something that is more than 10V differential from the OUT pin, it will lockup. So if you have 20V out, and you move the pot down to 5V, it can lockup. There is a maximum of 10V allowed between SET and OUT, and this has always been a problem for anyone trying to use the LT3080 and LT3081 in a variable output voltage configuration. With a fixed resistor on the SET pin it's fine. When the forcing the SET voltage with a potentiometer, an OP-AMP or a DAC , it can lock up when down-setting.
CAVEAT-EMPTOR.