An early version of the feature first appeared in Redstone 4, which was a beta testing version of the Windows 10 April 2018 Update, but it was removed from the final release.
It then made a reappearance in recent Redstone 5 builds, which led many people to hope that the feature will finally be officially included in the next major update for Windows 10.
However, with the latest Windows 10 test build, 17704, which has just been released, the Sets feature has been removed, which means it's unlikely to appear in Windows 10 when the next major update is launched.
Microsoft releases early versions of Redstone 5 to users to test the new features and send feedback. It appears that due to this feedback, Microsoft has decided to pull the Sets feature for now.
As Microsoft’s Dona Sarkar explains in a blog post announcing the 17704 preview build (opens in new tab), “we’re taking Sets offline to continue making it great. Based on your feedback, some of the things we’re focusing on include improvements to the visual design and continuing to better integrate Office and Microsoft Edge into Sets to enhance workflow”.
Sarkar promises that Sets will return in a future build, and hopefully this extra time makes the feature even better to use.