It doesn’t appear in the replay viewer, but the XML shows that the Eternal Army anomaly was active in that game.
However there was a spike in reports of this issue following 16.0. Some of them have specifically stated that they had no anomaly:
It’s possible the recurring damage trigger now remains active when the attached minion leaves play, whether or not the anomaly is active.
Edit: Just fought Setesh without the anomaly and did not encounter the issue. If there is some cause of this besides the anomaly as others report, it apparently requires some additional interaction. That, or an issue introduced in 16.0 has since been hotfixed, leaving the original issue still active.
Edit 2: Just noticed, on the last two turns of my game, Setesh took 2 damage at the end of his turn.
https://hsreplay.net/replay/8tNoK8PVCb7Uc9v7L3wLVE
Looking through the power log, the source seems to be an enchantment created outside of play when the (cursed) King of Beasts he stole from me died. From what I can tell, sometimes when a minion dies, a trigger on the current turn player (or its owner, not sure) copies it (with all enchantments) to a zone outside of play. This affects all games (even outside the adventure) and can cause the issue in this thread, but it doesn’t happen every time and I’m not sure what the pattern is.