The first time you call this method, the application loop will be started. In that case, this method will not return until the application is terminated. So with this typical construct: 

var
  App: TAgkApplication;
begin
  App := TAgkApplication.Create;
  App.Title := 'My Application'; // ...etc. set application options
  App.SetScene(TMyScene.Create);
end.

the SetScene method will return only when the application terminates. So you should set any application options (like screen size etc.) before you set the first scene.

TAgkApplication Methods