It's by design that you can't edit *.set files. This is how the set creation process works:
1) You go to the "Set" menu's "New" to start a new "set list".
2) You create/edit individual levels and add them to the set list. You save you progress on the set list by going to the "Set" menu's "Save (As)" etc. This creates the *.lst file. The *.lst file is actually just a list of filenames.
3) When you feel your levels are ready to distribute, you go to the "Set" menu's "Create". This will generate a *.set file from the *.lst file, so if you have XXX.lst it will now generate XXX.set. The *.set file is the thing you give to people for them to play your set. It contains copies of the levels themselves, unlike the *.lst which is just a filename list.
In other words, whenever you create a *.set file, what you are doing is have the editor look at your *.lst file, and then for each level file listed in the *.lst file, it will copy the level file into the *.set file.
4) Now, suppose you found a problem with one or more of your levels. All you have to do is to go back to those levels' files and edit those levels. Then recreate the *.set again by using the "Set" menu's "Create". A new *.set file will be created, and it will have your edited levels.