I believe it does have weekend setting too, might depend on which one you have. Mine has Weekday/Weekend settings.
Do a search in this forum for SETBACK, pros and cons. I guess it depends on your house heating needs.Temperature setbacks
I never had good luck with (and a lot of others haven't either) using the setback, it takes too long to get back up to temps....only change it a couple degrees if that....I just set it at a certain temp and leave it. maybe change it 1-2 degrees when home, but that's about it.