Do you know what goal setting is good for?
Goal setting is good for acheiving goals. No less, no more.
But there is more to life than acheiving goals. Sometimes you just don't care about a particular outcome. Sometimes being spontaneous and enjoying the experience is the whole point of doing something.
As for the question of whether Bill Gates sets goals: Of-course he does. It just comes so naturally for him, that he doesn't feel any need to make a fuss about it. Just like we don't make a fuss of going to the bathroom or brushing our teeth. Once it becomes habit, you simply stop paying attention to it.
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