I anticipate (and of course, I’m just speculating) but I think you do the tower on your rogue, you get the rogue set. You want the priest set, you’ll have to go back in to get it for that, and so on. I don’t think you’d just do it once and get all of them and nor do I think you’d need to do it on you holy, shadow and disc to get the priest set. That’s my guess and what would make the most sense.
The vendor thing, we’ll there are some new cosmetic items I saw featured from some data mining for example the glowy weapons for nightborn - I’ll bet Legion TW vendor will offer some of that stuff that a person can work towards.