Currently, sets.conf is only documented in doc/config/sets.docbook. It would be nice to have at least a stub in the portage(5) man page that refers to the html documentation.
There's a patch in the following branch: https://github.com/zmedico/portage/tree/bug_541188 I've posted it for review here: http://thread.gmane.org/gmane.linux.gentoo.portage.devel/5270
This is in the master branch now: https://github.com/gentoo/portage/commit/86a675d7c9979f245499dd8d2253557933b6a3fe
Released in portage-2.2.18