Trump isn’t just being set up for blackmail, he is already being blackmailed. Early in the election cycle it was conveyed to Trump that the sanctions against Russia were annoying, and if he were elected Russia would be eternally grateful. Sometime later it occurs to Trump that he is walking on thin ice because he could be thought of as a traitor. Putin tells him about the unpleasant videos in Putin’s possession, and how unfortunate it would be if they were to surface, but if the sanctions are lifted all that evidence will vanish, and Russia would be eternally grateful to Trump.
At some point, later rather than sooner, it dawns on Trump that he is in long prison term or death penalty land if any of this gets out.
Several other realizations hit him as well: 1) Putin will never destroy the evidence; 2) there are people on Trumps staff reporting directly back to Moscow (therefore the only people Trump can really trust are members of his family, and probably not Melania), and 3) Putin is perfectly capable of killing him or members of his family.
And now Western intelligence agencies are hot on the trail.