It depends on the script attached to the set height button. The G31 probe command moves the tool at the current feed rate - usually the macro reads what that is set to, stores it away, sets the feed rate to a new low value such as 5mm/min, does the probing and referencing, then resets the feed rate to the previous value. Try an "F5" command in the MDI before you set the tool height to check. There are a load of tool height macros posted here.