Instead of using sets, creating a calculated field that groups the lat/long coordinates into neighborhoods should give you the desired results. With a set, data points are either in or out of one particular neighbor. With a calculated field, all data points are sorted into each neighborhood in one field, which means all neighborhood groups can be added to the map at once.
The Knowledge Base article Creating Groups Using Calculated Fields has detailed directions on using calculated fields for this purpose. You might also want to check out the tutorial videos Grouping or Additional Ways to Group.
I hope this answers your question!