When going through my backlog of "gear i can now finally salvage" i noticed an item from the Oblivion's Edge set was still showing for me as not having been "collected" yet .... so i went for the context menu to bind it only to discover the item is already bound.
When looking at the Set Collection UI all the sets from Vaults of Madness seem to have been "collected" properly with "Oblivion's Edge" being the sole exception. That entire set remains "not collected" even though i have items from that set bound and in my inventory while actively logged in.
When i asked a guildmate to check his set collections, he also noticed "Oblivion's Edge" was suspiciously void of any collected entries.