\setsmallminus
is a binary operator (packages amssymb
or MnSymbol
). Binary operators gets same space before and after (unless in script styles). The additional spaces are not inserted, if the symbol is an ordinary symbol. That can be achieved by a subformula:
A {\smallsetminus} B
Full example, extended:
\documentclass{article}
\usepackage{amssymb}
% \usepackage{MnSymbol}
\begin{document}
\[ A + B \]
\[ A \smallsetminus B \]
\[ A \!\smallsetminus\! B \]
\[ A {\smallsetminus} B \]
\[ \mathbb{I} \smallsetminus \{0\} \]
\[ \mathbb{I} \!\smallsetminus\! \{0\} \]
\[ \mathbb{I} {\smallsetminus} \{0\} \]
\end{document}

Without the additional spaces of a binary operator the fourth and last lines look wrong to me. A compromise are the middle lines that reduce the spacing using \!
.