The DMG files are virtual disk image files on a Mac, that can be mounted and then programs run as if they were on their own disk.
In this specific case, you're looking at an Adobe Camera Raw 8.4 plug-in update for Creative Cloud. Normally you'd only need this if you were trying to install the ACR plug-in manually because the automatic update failed. If the CC updates are working ok and you don't need to install manually, then you can delete the file, as you did.
The setup.dmg files are probably something similar, although with only the word setup in the filename, it's hard to guess what program they might be for.