From PSP2i Wiki
Set effects are special bonus stats which are granted if certain shield-weaves and weapons are equipped at the same time. These bonuses are only applied if the weapon and shield-weave are physically equipped - being on the action palette alone is not enough to trigger the bonuses. The bonus stats from a set effect are applied after all other stat modifiers.
If a set effect is for a one-handed weapon, the weapon in the other hand will also benefit from the set effect bonuses.