Docs were added about a month ago

Misc/NEWS

@@ -498,8 +498,7 @@ Library
   set type using the keys of a dict to represent the set.  There's
   also a class ImmutableSet which is useful when you need sets of sets
   or when you need to use sets as dict keys, and a class BaseSet which
-  is the base class of the two.  (This is not documented yet, but
-  help(sets) gives a wealth of information.)
+  is the base class of the two.
 
 - Added operator.pow(a,b) which is equivalent to a**b.