Try creating a combined set where both sets are formed by using Condition. And try to create a combined set where both are formed by using Top. I've ran into this before where I could only combine if both were conditions or both were from the top tab. I do not believe this is intentional on Tableau's part. But it might be for reasons unknown to me.
Another issue could be that you may have mistakenly built this set using a different field. The sets need to be based off of the same exact field.
not sure if there is a quirk with Sets, i recreated same conditional and it now has the "create combined", i also created a Set "Customer Sales > 500". I could not create a combined set with BOTH, even though i can obviously create a VIZ with these conditions using the filters. I was initially using a workbook downloaded from internet from a previous version of TBL which was saved to upgrade it. I tried this same behavior on a fresh workbook using 9.3 and it has all the options and ability to create combined sets now. So maybe a quirk using older workbooks...
thanks for the reply