An online backup service or a local backup tool that supports backup sets is a service that allows you to back up different files and folders on different schedules.
If a backup program doesn't support backup sets, it just means that anything marked for backup will follow the same rules for how often to back up.
A backup set is simply a specific schedule for a specific set of files and folders. In most cases, you give a new backup set a name, add the files and folders you want in it, and then set up specific backup rules for that collection.
For example, an app that supports local backup sets might allow you to create one backup set that backs up all of your photos and videos on every day of the week, between 3:00 AM and 6:00 AM. Another backup set might be configured to back up all of your documents at all hours of the day.