i have to say gap...i like the look better with a gap
i have a halo setting and mine has a slight gap...i didnt like the way mine wouldve looked with out a gap...im posting a pic...this isnt the greastest pic of it but you can tell i have a gap...
i think having a gap makes the ring different...but you ultimatly have to go with that you really love!
I prefer NO GAP. I think stones with a gap don't look as well made, kind of like you just plunked a stone down in the setting. When it has NO GAP, it looks custom-made. This is just my opinion, though!
Good luck with your decision.