Setup page can be run at any time and does not always make any changes so there is no clear event to rely on. It will run every time it is visited unless it is disabled, but even then it will run every time an admin user visits it.

It processes changes to default feature instance settings but it doesn't know if they changed, it just makes sure they match what is in the feature definition files, other than that setup only runs database installation and upgrade scripts. There is nothing it does for additional sites, it only ensures the first site during initial installation, the other things it does as mentioned above are for the whole installation not for specific sites.

We do have a plugin system for SiteCreatedEventHandler that fires when a new site is created but it hasn't yet been documented.