The set only gets saved when you infuse an atma from your full atma list, as in, the list of every single atma you have. If you pick your atma from the list of the 12 recent atmas you've used, that does not count as a "set"
If you wish, you are able to pick 2 atma from the list of 12, then add a third one from the full list of atma, and then that will save your new set.
And yes, it's extremely convoluted, despite still being better than what we had before (where we had to pick atmas one at a time from the full list, every single time). I wish they would just change it to be more like what they did with Nyzul temps, where we can just customize our own list (and put as many as we like in that list, not just a maximum of 12)
Edited, Aug 29th 2012 6:02am by Fynlar