Is there any sample workbook you can share and reflect your issue?
Sorry i can't attach the workbook.
The problem is:-
Suppose i have made 3 sets in my data when i want to add more than 1 set then nothing is shown on the worksheet.
some useful links that might give some idea
Let us know if this help. Else share some sample mock up in packaged workbook.
You can combine same dimension of set in tableau like top n states set and bottom n states set.
no way to combine another set like city.