Siri can set a timer in iOS because the timer is set using the Clock app, there is no such app in stock macOS so the ability to set a clock timer doesn't exist.
However, in macOS, if you tell Siri to "Remind me to check the mail in 30 minutes", then a proper reminder will be set.
I was very disappointed that Apple didn't port the Clock app to macOS in Catalina.
It's a feature I use a lot in iOS. With Apple touting Catalyst I would have thought they would have.
File feedback to Apple. I have in every release since Beta 9 when I started using it. If enough people request it maybe they'll do it.