The Thinka Setup app is the app that you use to configure HomeKit on your phone. It uses the devices and rooms in your Thinka to setup your Home in HomeKit and to keep it in sync. Otherwise you would have to configure all devices one-by-one and put them in their rooms with Apple's Home App.
You can get the Thinka Setup App from the Appstore.
The Home App you will use to control your Home, so that's what you'll use probably daily. The Home App is preinstalled on your iPhone or iPad.