Some folks have the inclination to learn on their own and can bury their head down to the details that matter, and prefer it that way. Some folks can't be bothered with the trial and error and mistakes that can come with it. Most of us are a little bit of both, and it's all about the player's comfort level and where that balance of learning vs risk lies. Prefer to do my own setups, but fretwork is another ballgame I'd maybe take elsewhere first if I get around to needing it. The reason for this is simple, not everyone likes their guitars set the same way.
Should it always be intonated to absolute perfection? The guitar by virtue of its straight frets will have slight variations in temperament. Always try to get the instrument intonated, but don't lose sleep over it.
Should the pickups always be balanced in output? Depends on what you use it for and how. Some like the neck slightly hotter, some like it the bridge when rolled back to balance with a neck in full output, so you could reserve that boost when you roll up or toggle down.
Should the action be set high or low? Again, only you as the player knows where it should sit when you fret it.
Should the neck be close to straight? A bit of relief is desired if you attack the strings harder than most folks. Watch that trussrod, once a day lang in quarter turns, watch for stripped threads or difficulty in turning.
I know the good folks here in GC are talking mostly in general terms, and the info is all good. But these are just some things you might want to "talk shop" over with whoever is doing your setup. Go over the specifics, and try to pick up what you can.
My dad and my grandpa always thought every man should work on his own plumbing. But if sh*t happens, call the plumber and see what he's doing right. My brothers aren't so inclined with these things (would call the plumber every turn), but like generations of men before me, I want to know what's going on. So a big NO, I don't always spend for a setup.
