When you do COM programming, you are in general very defensive. So, as a caller, you use the famous FAILED or SUCCEEDED macros (or equivalent in the language used) when calling functions of an interface.

However, when the documentation stipulates that the result is not important, it is recommended not to check the result. So, as a caller, I would do

...
myObject.SetSite(whatever);
...

instead of

...
if (FAILED(myObject.SetSite(whatever))) goto error;
...

Note this is quite specific because SetSite is documented like this.

If I don't read the doc carefully (as you did) and assume this is a "regular hresult return" interface call, I would use the FAILED macro. If you return anything undocumented, FAILED will catch it anyway, and I'm quite safe anyway.