Is there going to make any difference with List vs Set
List and Set have different semantics. A List is an ordered collection of items that allows duplicate entries. A Set is an unordered collection of items that allows no duplicates. (there are also some special variants that combine ordering and uniqueness like SortedSet and NavigableSet)
I know that I will ll probably never encounter the same id
The uniqueness of Set is by default ensured by your objects equals method. If you want your Data objects to be unique "by id" you have to implement custom equals and hashCode methods within your Data class that check for equal id.
Overall for this usecase, which is better?
I can't see any use case in your question.
If you need uniqueness take a Set. If you just need a collection of items take a List.
There are of course other use cases, too. For example, if you need to check whether your collection already contains an item or not. With a List you have to iterate over all elements and check for equality. When using for instance an HashSet it will just compute the hashCode of your object (with an equals check afterwards) and has the answer, which is much faster for large collections.
Listcan be randomly accessed, has an order, and aSetdoesn't necessarily do. You should also clearly define what you mean by "better", and describe more about your use case.