This condition is known by several names including Frozen Tail or Dead Tail.
The first indication is that your setter will stop wagging his tail and then you will notice that the last two thirds of his tail will be hanging down at right angles to the first third when he does try to wag his tail or even when standing still. This looks incredibly strange when you are used to a tail that is normally held level with the back.
The cause is not really known but is associated with, swimming in cold water for any length of time or the tail getting cold after a bath and not being dried properly. A contrast in temperature of the water with your dog may be sufficient to cause a mild case. It can be left and will recover in a matter of hours or over a couple of days although it will probably be uncomfortable and your setter may not want his tail touched. If it lasts for longer or he seems particularly uncomfortable he may need anti- inflammatories. However, if you know there has been some sort of trauma or you are concerned you may want to visit to the vet.