When a handle is int he setup state you can just cleanup. Since the target device is no longer visible, you will have to use the force option (ie. powermig cleanup -handle [#] -force).
I have a migration stuck in a "setup" state to an unknown disk. I need to kill it so I can restart it. I don't see this mentioned anywhere (how to cancel a "setup" state.  If I try to resetup it, it says it's "already involved in a migration".  I have rebooted, taken the volumes offline, etc, everything I can think of but it will not release the "setup" state.   =========================================== Hnd  Source     Target          Tech  State ===  =========  ==========  ========  =====   1  harddisk2  harddisk??  HostCopy  setup
PPMI - cancel a "setup" state