Proposal from SO: in the iteration loop for 'myset.difference(iterable)', add equivalent of "if not myset: break'.
https://stackoverflow.com/questions/39378043/why-does-pythons-set-difference-method-take-time-with-an-empty-set

In the toy example for testing that this is currently not so, myset starts empty, but it was noted by the OP that a more realistic example would be that myset becomes empty after deletions.

Postulated reasons why not to do this (as opposed to why it has not been done yet ;-):

1) averaged over all uses, the time saved not iterating would be less than the time spent testing emptyness.

2) an implicit guarantee to complete the iteration for possible side-effects.

One answer notes that myset.difference(anotherset) is special-cased and faster than the equivalent non-set iterable.

I searched the tracker for 'empty set difference' and got no hits.  If I remember, I will post any disposition of this issue back to SO.