The Haedrig’s Gifts, containing your free Set pieces, are sent to you by your in-game mail. There are 3 Haedrig’s Gifts. You get one after completing Chapters 1 and 2. You get the second one after completing Chapter 3. And you get the third and final Gift after you complete Chapter 4.
If you do not claim your Gifts from the in-game mail within 30 days, they are deleted.
Your female Monk is currently wearing the Patterns of Justice. Your male Monk is currently naked.