It doesn't change the time complexity. Both are O(n). Your point about convenience stands, though.
Actually, if you go into fully pedantic mode, the set version is worse. Hash-based set insertion is commonly taken to be O(1), but that depends on hash comparison being O(1), which depends on using single-word hash values, which means your n is bounded by eg 2^63 (50% occupancy) or whatever. Honestly fine in practice, but hash lookup isn't "as" O(1) as indexing into an array. (ie, it requires a less realistic cost model.)
You also need your keys' length to be bounded by a constant. Otherwise just hashing everything will exceed O(n).