Jordan- If you're referring to the latest "Set Actions" feature, then it wouldn't work on your 2018.2 Server as the feature was shipped with 2018.3 release. When you're publishing a workbook to a server which is on lower version, Tableau removes any additional features to make it compatible with the current Server version.
Thank you Shivaram
I didn't know it was introduced in version 2018.3 but that explains the Set Actions feature.
For the first example however with the 'Create Set' drop down not showing on Tableau server - do you think this will be the same issue or is this feature only available in Tableau desktop?
Jordan- Yes, you'd be able add members to a set only on Desktop. I have tried this myself, I see a Group option but not Set.