While they are similar, they are used in different contexts.
Set the clock
"Set the clock" is used when you are adjusting the time on a clock or watch. For example, you might say:
I need to set the clock on my microwave because it's running a little slow.
Set the alarm
"Set the alarm" is used when you are programming an alarm clock to make a sound at a specific time, usually to wake you up. For example, you might say:
I need to set the alarm for 7:00 AM so I don't oversleep tomorrow.
So while both phrases involve clocks and time, they are used in different situations.
