If you have already bought an app that's on Setapp, you'll have two separate and independent versions of this app on your Mac. They will exist as two different applications.
If you decide to cancel the Setapp subscription, the app you purchased earlier will continue to work.
However, you should note that Setapp's app versions have many advantages comparing to regular apps. First, Setapp apps are updated to newer versions for free, including major upgrades that are usually paid.
Second, you don't have to pay any additional charges to get pro functionality or disable ads (Setapp allows no advertising).
Third, if you enjoy some app, you may reward its developer by simply using a Setapp version of their app. The point is, the developer gets a part of your subscription fee if you use the app at least once a month. This shows your loyalty to the software and motivates the developer to make their app even better.