I don't seem to have the issue -
when you right click the set and select edit it should look something like this
Dont re-click select from list - just select (or unselect) that changes you want to make and hi OK
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Is that how you originally created the set?
I did some more testing. It seems if I am using a smaller dataset or an extract, the set form usually opens to the discrete list of values but not always. I'm not sure what I'm doing to cause it to sometimes open to the list vs. custom list.
We run a Redshift cluster with tens of millions of rows of data though. It seems that when I initially create a set within a workbook connected to our Redshift cluster, it almost always opens to the custom value list. When I click over to the "select from list" option, the values all load fine and I can select them. But when I go to edit the set, the custom value list is what displays by default. Annoying.