Setzer is a bit complicated and a bit of his personality gets lost in certain translations. He did it because he wanted to and he's incredibly fatalistic, his only joys in life are gambling, opera, and his airship but I never felt he really intended to marry either Maria or Celes, just get his kicks and in the case of Celes I felt he did the marriage ploy as a bluff to test Celes' resolve. By the time of the WoR, his backstory is broadened and we learn that he lost the person he really card the most about years ago and he's still shaken by it. It's why he quickly went along with Celes and the others on their mission, he doesn't really care anymore what happens to him per se though he still cares about his ship and who knows he might have fun. He tries to act carefree but in reality he's broken inside.

The whole opera mess I felt just kind of showed his over-dramatic personality but its a cover to the quieter and more thoughtful moments you see with him later. That and an excuse to have the opera scene in the first place.