There are 5 tier slots, head/chest/legs/gloves/shoulders, but you can upgrade any piece of gear that isn’t a weapon or accessory into the physical set. Even if it’s not part of the set bonus.
This is their way of avoiding having an incomplete tier set that’s missing a pair of boots or whatever because they had too many other boot items in the raid. Mostly for transmog purposes, but maybe the item has more desirable stats for you as well so it could be a bonus.