In short...they didn't, Tableau did!
So these sets, are how tableau performs it's dashboard actions. Once it's first triggered tableau adds the set (it created as part of the action filter) to the filter shelf...If you create your own dashboard from, and create a filter action, once you click it, you'll notice a set (like this one) appear in any worksheets that were affected by that action...however once it's in the filter shelf, you can do things to it like 'make it a context filter' (which can be useful when using LoDs, for example)
Hope that helps.
Yes it was of great help, thank you