There are no set dungeons for the newest set armours, i.e.
Class
No Set Dungeon
Has Set Dungeon
Barbarian
Horde of the Ninety Savages
Immortal King, Might, Raekor, Wastes
Crusader
Aegis of Valor
Akkhan, Invoker, Roland, Seeker
Demon Hunter
Gears of Dreadlands
Marauder, Natalya, Shadow, Unhallowed Essence
Monk
Patterns of Justice
Inna, Raiment, Sunwuko, Uliana
Witch Doctor
Mundunugu’s Regalia
Arachyr, Jade, Helltooth, Zunimassa
Wizard
Typhon’s Veil
Delsere’s, Firebird, Tal Rasha, Vyr
Necromancer
Masquerade of the Burning Carnival
Inarius, Pestilence, Rathma, Trag’oul
This means that in a season where the Haedrig’s Gifts grant these sets, in order to complete the Season Journey tasks for completing and mastering a Set Dungeon, you are required to farm one of the other class sets and complete the dungeon associated with those sets.
It is not a bug that the new sets do not have dungeons associated with them. When the first of these new sets were released it was queried whether new set dungeons would be created for them. Blizzard confirmed that not only were there no new dungeons, they had no intention to create them.
So, use your new set to farm one of the old sets, and do a dungeon with that set.
If you’re intending on getting to Guardian, you’re probably also going to be doing the Conquest that involves doing GR55s using six different sets, so you’re going to be farming other sets for your hero to do that anyway, so use one of them to do the set dungeon requirement.