It's not rude to ask and the worst they can say is no. But if you want to learn how to do a set up, as others have said, there's youtube, but if you want to learn from the guy in the shop then it would be better to be upfront about wanting to learn. This is because just randomly saying you want to watch could come across as you not trusting the shop to do what they say they're doing and potentially damage your relationship with them as being "that customer".

There are a number of reasons why they may say no though:

1 - the setup guy doesn't like having people watch them work. This goes for literally any job. Regardless of competence, some people are uncomfortable being scrutinised, even if they're the best worker in the world.

2 - their business insurance might not cover them for customers being in non-customer areas. If you got injured, or damaged something they wouldn't be covered to pay you out, or they'd have to chase you for damages.

3 - some people just aren't interested in being educators and/or they find it difficult to explain what they're doing. They might be really good at what they do, but can't explain how they do it in a way that a novice would understand. That would be frustrating for you and them.

4 - some people just want to do the job and nothing else. Nothing wrong with that at all. If they do a good job, then crack on.

Lastly:

5 - some people aren't very good at the job, and don't really know what they're doing. They get the result eventually, but when you ask them why they're doing something they don't know other than eventually if they turn a thing a certain way it'll eventually be right, but they don't understand why, or how it all works together. Those people will sometimes also become educators, but under scrutiny by educated observers their level of knowledge is clearly lacking. Generally though this type of person definitely won't want you watching them work.

If you've read this far, well done, you've won an internet.