I have a new Hampton Bay ceiling fan. When I installed the downrod to the motor assembly I notice the two set screws both have nuts tighted down on them. Are those bolts spacers that should be left in place when tightening the set screws or should the nuts be removed before tightening the screws?

Those sound like lock nuts. Loosen in order to tighten the set screws. When set screws are properly tightened, re-tighten the lock nuts. The lock nuts prevent the set screws from loosening due to vibration.

HK is correct.