Say that a player sets a monster. It sits there for a few turns and then the opponent attacks it, flipping it face up. Unfortunately, it turns out that it couldn't have been set. Perhaps it was a Link Monster (which can never be put in Defense Mode) or a Tribute Monster that was set without the proper tribute.
What happens? Given that a few turns have passed, it may be impossible to "rewind" to a point where the monster was set, so I'm not sure how the game can continue. In a tournament, would the player who illegally set the monster be required to forfeit the game?