Oh, and it is only on the tooltip in version 8 and there is a lot more functionality (you mentioned In/Out) that is new in 8. But the ability to create sets is also in the current version. You should be able to right click a field or right click selected marks in a viz and get the option to create a set.
I am trying to create a IN/OUT SET. But only the IN is displayed and the OUT is not displayed.
Any idea what is the issue with my SET creation?
You probably have the set on the filter shelf as well (as a non-IN/OUT set). That's causing the set to filter to just those that are IN.