Let’s be clear about something. Any Legendary item, including Set items, that have Legendary Properties (a.k.a. Special Powers) that can be extracted can… well… be extracted.
Do not confuse Legendary Powers with Set Bonuses. Set Bonuses can never be extracted.
But, to say that “You can not extract Set items” is like saying you cannot extract Legendary items because some Legendary items don’t even have Legendary Powers. Some Legendary items do have Legendary Powers, but they cannot be extracted (the solid orange bullets).
Set items are Legendary items. If they have a Legendary Power, they can be extracted. If they don’t have a Legendary Power… there’s nothing to extract.
I’m honestly not sure if there are Set items that have Legendary Powers that cannot be extracted (solid orange bullet).
Legendary items can be extracted. Set items can be extracted. But, only if they meet the necessary criteria.
Here is a list of Kanai’s Cube Legendary Powers. Unfortunately, it’s a little outdated and doesn’t include Necromancer items. If someone knows of a more recent list, please feel free to share.