1. It only applies to ranged attacks.
2. As noted on 5E 259, a character who wants to use Set must spend a Full Phase aiming, during which he can do nothing else other than Zero-Phase Actions. That means no attacking. Once he's spent the Phase establishing his Set, he can attack in later Phases with the appropriate bonus as described. In your example, the character spends his Phase in Segment 2 establishing his Set; that's all he can do. In his Phase in Segment 4, he attacks with the Set bonus.
Steve Long
Young Curmudgeon
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