The "SET" key function is used to set up the air-to-air radar for a missile mode.
For example, if you select an AIM-120 with the HOTAS, you can set up the radar for the bar scan, azimuth scan, range, PRF, and if you look under "DATA" you can set that to the save time for a contact via your radar. Once you do all of that, press "SET" and that will save the settings for the air-to-air radar then you can go back to you normal scanning method until you need it. Say you cancel A/A mode then you have to call up the AIM-120 again, it will go back to those saved settings.
There is a YouTube video about this ability: