Sets are a feature that must first be enabled in Project Settings before they can be used.
Go to Project Settings:
1. Click your avatar on the bottom-left to open the User menu.
2. Select "Project Settings".
3. Scroll down on the Project Settings page until you see the Sets Feature. If it's not already enabled (blue), switch it to enabled.
4. Click "Save" on the top-right.
Now that you've enabled the Sets feature, you can create some sets.
For detailed information about using Sets see the "Sets Help Guide".