Harthor and Roc drop is somewhat overrated IMHO.. both Sekemth and Nephewty are great heroic choices...
Nephtys is an awsome choice. BUt it is'nt the god that creates sets problem in heroic. Its the lack of good seige.
Norse ram are fast and can aborb tons of damage. In two or three's they can take out an enemy base with an entire armie working into them.
The greeks have the petrobos and towers both ranged seige.
Set has eggie towers wich are to slow and you need to nestle thm onto a tc or castle. This make very easy for an opponent to kill even if he only has a few units left or just villies I lose a ton of tower before they even get to the target. If you send your infantry in to protect they will get cut down by the TC or castles.
The way the other egies deal with this problem is by dropping the seige tower on top of the castles along with the units to protcet it. The seige roc combo works the same way as if they had ranged seige.
Without it even if you whoop your opponents behind in classical early heroic. It is very difficult and expensive to put him away. He can sit behind a tc with units villies. Your just gonna waste your sperman/axeman on his tcs. The cost will be high if you keepi throw wave after wave of tower at him. And by mythic he will be in a position to mount a come back.
This is why set start falling apart in mid to late heroic.