In general, penalties do not apply to setting the traps, but penalties do naturally apply to crafting item traps eg. loop snares and paw boards. The game naturally tells you about this, and worse quality item traps are naturally worse in attracting or catching the prey.
In making of trap construction, pits, deadfalls etc., penalties do not apply as you can dig a pit, and set the trunks according to your best trapping knowledge even though your penalties would make the process longer than usual.
However, if you are so seriously injured that you can't function normally, eg. only one hand is usable, then the trap construction outcome may also be worse than normally. In this case the game tells you that things are "slow and difficult to your this-and-that-part being not usable." etc. So, in that sense, the penalty information is shown when it applies to your trapping effort.