Is this movie set on Christmas?

Other than part of the "calendar girl" sequence and the scene where he proposes with the ring pop, no.

I assume you're referring to Deadpool's conversation in the cab with Dopinder where Deadpool says it's Christmas, but he's just saying that it's like Christmas because he has so much anticipation for his "present," which is finally getting revenge on Francis.

Here's the end of the conversation:

Dopinder: That’s, uh, twenty-seven fifty.
Deadpool: I…I never carry a wallet when I’m working. Ruins the lines of my suit.
Dopinder: Oh.
Deadpool: But, uh, how about a crisp high five?
Dopinder: Okay.
Deadpool: Merry Christmas.
Dopinder: And a convivial Tuesday in April to you too, Pool!

That last line lets the audience in on the joke, that it's April, not Christmastime.