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.