Here is a useful diagram from the help documentation and HL DRC user guide:
*.hldset is the main system file. The .hldset is at the top of the tree and the settings saved in the .hldset can be shared and distributed to anybody; it is at the top of the Enterprise hierarchy. Rule Groups and Object Lists can be saved in an .hldset as well as Setup > Options settings for parameter default values, licensing options, and much, much more.
An .hldproj is a local project. The .hldproj accepts the .hldset default settings and can also save Object Lists and Rule groups. If you load the .hldproj, you will retain those parameters and settings via that PCB only and in that project.
An .hldset is where the main creator sets up all default parameters for a team, group, or site and distributes them. An .hldproj should be locally stored settings per that PCB design database for a specific user.