"Messi did what he has done his entire life," said Setien of Barcelona's all-time top scorer, who proved the difference on a blustery evening at Camp Nou.
The former Real Betis coach is known for his devotion to the possession-based style of play Barcelona became renowned for under Johan Cruyff and perfected under Pep Guardiola, but Granada, who beat Barcelona 2-0 in September, proved stubborn opponents.
Setien praises Messi
"He has done this so many times in games like this, games when you can't find a way through, things aren't going for you and you are lacking inspiration, but he always conjures up something special.
"We made a few moves like this in the first half but it didn't come off but when the ball falls to Messi you know there's a very high chance it will go in," Setien spoke in awe of Messi.
The visitors even came close to taking the lead when Cameroonian Yan Brice Eteki struck the post in a rare foray forward, but they eventually caved in after Sanchez picked up a second yellow card and was dismissed for hauling down Messi.
Messi had come closest to scoring for Barcelona with two powerful yet inaccurate shots either side of halftime but he made no mistake when Arturo Vidal dragged the ball into his path in a slick passing move engineered by substitute Riqui Puig.
Casemiro to Real's rescue
Earlier, Casemiro turned Real's saviour as Karim Benzema, Sergio Ramos and Eden Hazard were all absent at the Santiago Bernabeu.
His first double as a Real player proved the difference amid a three-goal flurry in the second half, during which Luuk de Jong had briefly pulled Sevilla level.