<p>Does the C++ STL set data structure have a set difference operator?</p>

Yes, there is a
set_difference
function in the algorithms header.
Edits:
FYI, the set data structure is able to efficiently use that algorithm, as stated in its
documentation
.  The algorithm also works not just on sets but on any pair of iterators over sorted collections.
As others have mentioned, this is an external algorithm, not a method.  Presumably that's fine for your application.