Lessons on Sets {} ?

So I'm on the part of the python course track of regular expressions, and Kenneth Love is talking about sets defined with square brackets as parameters that our expressions can search for. I've been waiting for actual sets to be introduced and I thought for sure it would be taught way back when we learned about lists and dictionaries and tuples in python collections. However it was not.

A set is defined with curly braces, it is a disordered collection of unique elements if my understanding is correct. When we define a search parameter in a regular expression, a set is defined with square brackets. How about when we search for lets say a sequence of digit characters like when we were searching for phone numbers in names.txt with

re.findall([-\w ]*, \s[-\w ]+\t) # Last and first names
re.findall(r'\d{3}-\d{3}-\d{4}') #simplified a bit for sake of the question

I know the number within the curly braces is basically saying 'find this character x times' and we also use the curly braces when calling a .format. When do actual sets, the data type, come into play? It's just all a little confusing >.<