Can someone explain how does this guy: (https://b23.tv/AGBMVA) has all the missions on the map while in a setup mission?

They will be there unless you turn them off in the Interaction Menu.

I'm fairly sure they shouldn't be there, but will recheck

Yep, they should be disappearing

They do dissapear unless you do one specific glitch which allows you to warp inside preps.

Oh damn, didn't know such existed