Set it Off vs. Thelma & Louise
Access to the road is quite different in these 2 movies. In "Set It Off" they were forced onto the road because they chose a life of crime, and had to escape, whereas in "Thelma & Louise" they chose their own road, even though it didn't quite end up the way they planned. But both had tragic endings.
How are sisterhood and loyalty established?
In "Set it Off" they have obviously been tight since they were young, so that sisterhood has been established already, but loyalty is established by complying to rob the next bank with the rest of the girls. If you back out, you aren't loyal to the group. Compared to "Thelma & Louise" where they are best friends, but their sisterhood grows stronger on the road. As does loyalty, when Thelma decides she will stay with Louise and travel to Mexico- she is loyal to her friend.
Why is "Set it Off" a road movie?
It's a road movie because they are looking for a way out of the projects, and spend the entire movie trying to get enough money so they can "get out of this town". In this way, since they are looking for a way out, and trying to get enough money so "hitting the road" is possible, it could be called a road movie. They see the road as liberating, and are looking for a way to access it the whole time.
AND, I would just like to say that every road movie ends in disaster and death, that's depressing.