Some contractors may requiere a complete SET in order for the contract to be finished.
Sending only parts of a set will not count towards the goal of the contract.
A complete train set always has to carry the maximum amount of wagons possible, this means that for example a train with the power of 8, needs to carry 8 wagons from the set.
Here is an example, as the Maglev is incomplete, the SET icon is not shown, as it is missing one Wagon from the set.
The Steam Locomotive however has all wagons from the set, and the icon SET is displayed over it.
If you are searching for a specific train set, feel free to use the wiki and search either for the name of the set, or the name of the locomotive. You can find the wiki here : http://trainstation.wikia.com/wiki/TrainStation_Wiki