Java - Iterating around for-loop to create players for game and setting their name

Your inner for loop is iterating on players array, but it is empty.

Maybe try this instead:

       do {
            System.out.println("Please enter name:");
            playerName = sc.nextLine();
            if(playerName.length()!=0){
                valid = true;
                for(Player play : players)
                  if(play.getName().equalsIgnoreCase(playerName))
                     valid = false;       
                
                if(valid){
                   Player player = new Player();
                   player.setName(playerName);
                   players.add(player);
                }
            }
        } while (!valid);

I think you might be having a hard time debugging because of how similar all your variable names are. ('players','player','play')

EDIT: updated to check if a duplicate

First, list of players is defined as a local variable in the method addPlayers, so when this method is done, all the players data are lost. So it is necessary to modify this method either to add the players to a field of SetupGame class or to return the list of players to the calling method. The latter way is a cleaner functional way of populating the player list.

Next, in order to efficiently detect duplicate names, it is recommended to create and use Set<String> playerNames.

And the last, if Scanner is open on System.in it must not be closed, because after that no user input can be entered.

That being said, the code of addPlayers may look as follows:

public List<Player> addPlayers() {
    List<Player> players = new ArrayList<>();
    Set<String> playerNames = new HashSet<>();
    Scanner sc = new Scanner(System.in);

    System.out.println("What are the names of the " + this.numberOfPlayers + " players?\n");

    for (int loop = 1; loop <= this.numberOfPlayers; loop++) {
        while (true) {
            System.out.println("Player " + loop + " please enter your name");
            String playerName = sc.nextLine();

            if (playerNames.add(playerName)) {// Set.add returns true if name was added to it
                Player p = new Player();
                p.setName(playerName);
                players.add(p);
                break; // input new player
            }
        }
    }
    return players;
}

You missed some getters and setters in your Player class.

Player.java

public class Player {

private String name;
    private int currentPosition;
    private double distance;
    private boolean quit;
        
    public Player() {
        // no-args constructor
    }

    public Player(String name, int currentPosition, double distance, boolean quit) {
        this.name = name;
        this.currentPosition = currentPosition;
        this.distance = distance;
        this.quit = quit;
    }

    public String getName() {
        return name;
    }

    public void setName(String name) {
        this.name = name;
    }
    public int getCurrentPosition() {
        return currentPosition;
    }

    public void setCurrentPosition(int currentPosition) {
        this.currentPosition = currentPosition;
    }

    public double getDistance() {
        return distance;
    }

    public void setDistance(double distance) {
        this.distance = distance;
    }

    public boolean isQuit() {
        return quit;
    }

    public void setQuit(boolean quit) {
        this.quit = quit;
    }
}

You can implement the SetUpGame class as follows. No need to create the do-while loop.
SetUpGame.java

import java.util.ArrayList;
import java.util.Scanner;

public class SetUpGame {
        Scanner sc = new Scanner(System.in);
        ArrayList<Player> players = new ArrayList<Player>();
        int numberOfPlayers;
        
        public int getNumberOfPlayers() {
            return numberOfPlayers;
        }

        public void setNumberOfPlayers(int numberOfPlayers) {
            this.numberOfPlayers = numberOfPlayers;
        }

        public void addPlayers() {
            System.out.print("Enter number of players: ");
            numberOfPlayers = sc.nextInt();
            
            System.out.println("What are the names of the " + numberOfPlayers + " players?");
            for(int loop = 1; loop <= numberOfPlayers; loop++) {
                Player player = new Player();
                
                System.out.print("Enter name for player " + loop + ": ");
                player.setName(sc.next());
                
                System.out.print("Enter current position for player " + loop + ": ");
                player.setCurrentPosition(sc.nextInt());
                
                System.out.print("Enter distance for player " + loop + ": ");
                player.setDistance(sc.nextDouble());
                
                System.out.print("Enter validity for player " + loop + ": ");
                player.setQuit(sc.nextBoolean());
                
                players.add(player);
            }
            sc.close();
        }
        
        public void displayAllPlayers() {
            System.out.println("Displaying all players...");
            for(Player p : players) {
                System.out.printf("%s %d %f %b", p.getName(), p.getCurrentPosition(), p.getDistance(), p.isQuit());
            }
        }
}

Finally you can test your SetUpGame class.
TestSetUpGame.java

public class TestSetUpGame {
    public static void main(String[] args) {
        SetUpGame game = new SetUpGame();
        game.addPlayers();
        game.displayAllPlayers();
    }
}