If you have the patience (cause it certainly requires it!) you maybe could try doing a rollerset yourself? The few times I've had it done at the shop it looked a hot mess and fell within one day, but when I do them myself they last almost a week, and they are really smooth. I don't use setting lotions or gels. unfortunately, I can't do a wet wrap to save my life. I think the key is if you are doing roller set or braid out, the main thing is to have the hair as smooth/flat as possible before it drys, meaning smooth and snug around the roller, or combed smooth and uniform in the braid. This cuts down on frizzies for me. For braid outs I always need to tie it down w/ a silk scarf.
I"m not sure if I'm answering your question or even helping
but I do think its possible to get a smooth style w/o heat, and my hair frizzes like crazy even though it is relaxed (it is fine 3c/4a). when I do braid outs it looks pseudo-natural 3b. The best way for me to avoid the frizzies is making sure that it is well-conditioned (lots of slip), and then a decent amount of leave-in detanglers and a small amount of oil, and gentle technique it combing it as straight as I can before rolling or braiding...
oh yeah, i guess I use some heat because I sit under a dryer for the rollerset, but for braid outs I don't undo it until its dry to touch (but not crispy dry!!).
*edited to add* I use a little bit of oil and a little bit of leave-in conditioner and maybe a spritz of water as my daily moisturizing but I only do it at night if I'm going to braid or bun it up. I don't even "saturate" the hair, but just enough to add a touch of moisture w/o frizzies. I don't spritz water on it if I"m about to leave and I'm wearing it down...