A <set> in an MDX expression in TM1 refers to a group of elements. Usually in TM1, this would be a subset in a dimension, although note that not all subsets are created by MDX. Therefore, when using <set> in an MDX statement, usually you will refer to a subset of a dimension.
Example of a Set in an MDX Expression
An example is in the TAIL MDX function. In the example below, we have a set referred to and then an optional variable [Count]. The Set referred to here can have one or more elements, either derived using MDX or just a plain old static subset.
TAIL ( Set, [Count] )
Putting that into practice with an existing subset:
TAIL ( TM1SubsetToSet([Account] , "Balance Sheet" , "public"), 5 )
Here, the set is “Balance Sheet” and is an already defined TM1 subset.
Another example is where you present a picklist where the element displayed first is drawn from a subset using MDX. For example, you have a list of months presented in a picklist and want the current month to always be the first element displayed. See this post for more information on how you can set that up.