Set-UID (by itself, at least) is not a feature to drop privileges. On Linux, you must also use setresuid to set all ID's to the EUID. And then you must hope tha

Set-UID (by itself, at least) is not a feature to drop privileges. On Linux, you must also use setresuid to set all ID's to the EUID. And then you must hope that you were able to execute setresuid before any vulnerabilities can be triggered. You should tell your web server to run CGI processes as a different user, instead (f.e. suexec).