FieldInfo documentation I was able to find did not compare and contrast these two methods. I am interested in understanding when one should be used over the other (preferably with a small code snippet).
SetValueDirect takes a TypedReference parameter, and as such it is to be used when varargs parameter interoperability is needed. This performs no boxing/unboxing of values and no access checking. It runs faster than SetValue.
SetValue on the other hand operates on pretty much everything else. It performs boxing/unboxing of the parameter where needed, and also checks for access.
There are SO's that discuss TypedReferences here and here - there are code examples in both.