They are a bit tricky to set up so that you don't get rub at one end or the other in my experience, but following the guide below will get it more or less right;
To set up the 5800,6800,9000 front derailleurs correctly an inline barrel adjuster or frame barrel adjuster should be used. It will make set up much easier. if you don't have one, install one.
Also make sure you don't have too many or not enough spacers (if needed) behind any bottom bracket cups. Check the recommendation for your bb shell width. As this may throw your chainline off.
Start over.
1. Unhook the cable.
Unwind the support bolt (not needed for a clamp-on FD).
Screw the barrel adjuster fully in. Then back it off abit.
Shift the RD onto the smallest cog (highest gear).
Unwind the high limit screw 1 full turn.
Down click the left shift lever into its lowest position. Press the small lever 4 times
2. Set the height of the FD 2-5mm above the big chain ring. At the same time, toe the rear edge of FD cage in around 3-5mm and clamp. (If it is the clamp-on version FD there is no need to toe in, just align the cage with the big chainring teeth)
3. Turn the support bolt inwards until the bottom rear edge of FD cage is parallel to the big ring outer edge. (If it is the clamp-on version FD skip this step) The support bolt is a small screw that pushes up against the seat tube to add stiffness to the front derailleur when shifting. It also moves the front cage outwards as you screw it in.
4. (with the cable still unhooked) Turn the low limit screw inwards until the outer side of the FD cage is positioned just further than the outer flat edge of the big chainring.
5. Pull the cable semi tight and clamp.
6. Shift the rear derailleur into the biggest cog on the cassette. (lowest gear)
7. Unwind the low limit screw until the inner side (plastic plate) of the FD cage no longer touches the chain and the gap is around 1mm. (you may need to push the FD towards the frame then set the gap)
8. Shift the rear derailleur onto the smalllest cog (highest gear).
9. Slowly shift the FD up onto the big ring (Do it carefully as the chain may over shoot and get thrown over the big ring). Once the chain is on the big ring. Look at the gap between the FD cage and chain. both sides.
Turn the crank to check for any rub. if it is rubbing on the inner side of the cage,slowly wind the barrel adjuster inwards until there is no rub.
If it is rubbing on the outer side of the cage,slowly wind the barrel adjuster outwards until there is no rub.
When gap between the FD outer side of the cage and chain is 0.5 -1mm. Turn the high limit screw inwards until it just touches the stop.
You may not need to touch the barrel ajuster at all. If there is large gap between the FD outer side of the cage and chain after shifting onto the large chainring. Just turn the high limit screw inwards (so the cage moves inwards) until the gap is 0.5 -1mm and not rubbing if you spin the crank.
10. Now go through all the gears and check the small ring trim setting. If the trim doesn't feel very positive. Dis-engage the trim and add abit more tension with the barrel adjuster and re-try the trim.
