The other answers are all assuming that these phrases are fractured English, and in context that may be the case. But the examples you give are perfectly grammatical, as far as I can see, and abnormal only insofar as their underlying phrases are odd.
Normally indirect objects ("to him", "to John", "for us") require the preposition; but as long as the direct object is specified, there is an alternative where the indirect object can come before the direct one, without a preposition. So
Give the book to me.
Give me the book.
This construction is common with so-called "ditransitive" verbs such as "give", "show", "tell". But it can also be used with many verbs that don't naturally take an indirect object, in which case the indirect object is interpreted as benefactive (i.e. "for").
So I would find
"They set us up a stage", or
"They set us up a game"
to be perfectly normal alternatives to
"They set up a stage for us", and
"They set a game up for us".
What is odd about your sentences is that the underlying phrases "set up the breakfast/game/fail" are rather strange and unlikely. (I don't know what "set up the fail" would mean").
A further complication is that the sentences you gave are confusable with a different idiom, the phrasal verb "set somebody up", which means "create a situation where a person is going to fail, or be a target". The sentences cannot be examples of this, because it would require an infinitive "set us up to fail" not a noun phrase. But it would be easy to mistake the structure.