I won’t get into the question of re-tuning strings and capos because I think you and Jay misunderstand each other (or perhaps I misunderstand you both), and I would only add to the confusion.
A pickup is a piece of equipment that detects the sound in the ukulele and outputs it as an electrical signal, which allows you to plug into an amplifier. Most ukuleles don’t have them, but they are useful for looping, for example.
Setup is the process of levelling and rounding frets, and adjusting nut slots and the bridge of the ukulele to make it more playable. You can do a pretty basic setup yourself, but if you want a more extensive setup done, it is worth taking it to a professional. Not all ukuleles need to be set up, but it can help.