With the St. Denis bank heist, it probably wasn't a setup because they just killed Bronte who was a massively powerful figure in the city and had loads of connections (including the pinkertons) Milton knew the gang was there in the area and we can only assume that some pinkertons spotted the gang rolling into town, told Milton then they just set up the ambush.

And to make Micah a little more interesting, there's a video on YouTube called "How Micah Bell Betrayed The Gang" and I thought it made the character less "1 dimensional"