NEW SET gives you the ability to place the component using a different set of placement constraints. The way I use it is to provide the location(s) of a moving component a location prior to the final location. You can enable/disable each SET to get the component to regenerate in the new location. For me it's something I use during the design process but I usually remove extra SET once I have completed the design.
If you enable both SETS, you will get a placement error if they don't coincide.