The Machines have managed to destory Zion but that's not important as Humanity lives in New Zion Now, so they're attempts to restart the cycle have failed. But in a way, they have managed to preserve their power source of the fields of bluepills and as things have gone back to the state it was just after Neo, I'd say they've neither gained or lost much.
Zion has moved to New Zion, a much more secure base of operations but we've lost both the Oracle and Morpheos in addition to the loss of the old Zion City itself, however we've got Trinity back (sort of). This is a tough one to call but I'd say that Humanity is in a worse condition than when we started.
The real winner, appears to be the Frenchman. As much as it pains me to say! All this time, he's been aquiring more influance and of course he's a lot richer. The only thing he has to worry about is his wife, and let's be honest, isn't that true for all of us? (Oh Boy, will I get flak for that!!). But I don't think there's anything you could really say was a setback.
1. The Frenchman.
2. The Machines.
3. The Human Race.
However, what to do now? Well, personally I think I'll try and achive my maximum potential and then bow out. That is assuming that the Matrix will still be around.