A rounding scheme for set cover has served as an important component in design of approximation algorithms for the problem, and there exists an H_s-approximate rounding scheme, where s denotes the maximum subset size, directly implying an approximation algorithm with the same approximation guarantee. A rounding scheme has also been considered under some online models, and in particular, under the element arrival model used as a crucial subroutine in algorithms for online set cover, an O(log s)-competitive rounding scheme is known [Buchbinder, Chen, and Naor, SODA 2014]. On the other hand, under a more general model, called the subset arrival model, only a simple O(log n)-competitive rounding scheme is known, where n denotes the number of elements in the ground set. In this paper, we present an O(log^2 s)-competitive rounding scheme under the subset arrival model, with one mild assumption that s is known upfront. Using our rounding scheme, we immediately obtain an O(log^2 s)-approximation algorithm for multi-stage stochastic set cover, improving upon the existing algorithms [Swamy and Shmoys, SICOMP 2012; Byrka and Srinivasan, SIDMA 2018] when s is small enough compared to the number of stages and the number of elements. Lastly, for set cover with s = 2, also known as edge cover, we present a 1.8-competitive rounding scheme under the edge arrival model.