Set basically has an Ord constraint on the type of things you have a Set of since most of the functions on it have an Ord a constraint, and Monads can't be constrained in what types they wrap. This is also why it's not a Functor; you can define
setMap :: (Ord a, Ord b) => (a -> b) -> Set a -> Set b
That is to say that "xs ==> (\x -> f x)" Would take every element in the set "xs", pass each of them into f, and union the results into a single set.