Are you referring to Tableau Web Edit or Tableau Public ? It should be available in both.
sets are available on all versions of tableau - set actions were introduced in 2018.3 so check the version you are running on if you plan to use set actions'
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Do you use Tableau Desktop as well ?
I am also facing the same issue on Tableau Online..
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It is possible to use sets in Web Edit mode but not currently possible to create or edit them. You will still need to use Tableau Desktop to do this.
Sets in Tableau are used to create subsets of data based on certain conditions defined by the user.
Create Fixed Sets:
- In the chart, select one or more scatter dots.
- Right-click over the selected scatter dots and select the “Create Set” option.
- Enter the name of the set in the “create a set” dialog box and click “ok”.
I hope this is helpful!