A set action changes the membership of an existing set. The set can sit on Color, participate in a calculation or filter a view. Putting In and Out on Color is useful for comparing selected members with the rest because both groups remain visible.
Choose how a selection changes the set. Assign values replaces its membership with the selected values. Add values keeps existing members and includes the selection. Remove values takes selected members out. These choices produce different results even when you click the same mark.
Clearing has its own rule: keep the current set, add all values, or remove all values. An empty set doesn't mean an empty worksheet when the set is on Color; it means every mark belongs to Out. Test this boundary deliberately. Set actions work with worksheets and dashboards, but don't run inside stories. Use a dashboard when membership needs to stay interactive.