Shouldnt matter what the clock is at when your charging, as long at your not using your phone. It could be at 1.25ghz and will charge just as fast if your not using it. The cpu doesnt draw as much power if the phone is idle, even if its set to performance. Example: Set it to 250mhz in set cpu, go to into and look at the cpu temp at idle. Then set it to 1.25ghz on performance (or as high as you can, 800mhz is the highest the stock kernel goes) and look at the cpu temp again when its idle. The temp should be around room temp.
Are you sure you can actually move the bars up and down? To me it sounds like your either not giving SetCPU root permissions or you're just running way to many things at once. Either way try flashing a different kernel and test your luck!
Just an FYI, when charging, Android sets the minimum speed to the THIRD slot on your kernel. So you may end up with a 400MHz minimum to a 600MHz minimum depending on the kernel / speeds selected.