Yep, one is a bypass cap, used to improve transient performance:

For improvement in transient performance, place a capacitor
across the voltage setting resistor. Capacitors up to
1μF can be used. This bypass capacitor reduces system
noise as well, but start-up time is proportional to the time
constant of the voltage setting resistor (RSET in Figure 1)
and SET pin bypass capacitor.

From the datasheet.

The other one is the 1uF cap, mentioned in the suggested application diagram.

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