Make sure you select the correct tab at upper right corner. There are four of them: set armor, set weapons, regular armor, regular weapons (maybe not exactly in this order). Make sure you select either set armor or set weapons. When you choose level, styles and traits, the result is visible in the center. It should clearly say it's Death Wind set and show the bonuses. If you lack skill, trait or materials, then crafting of that item is disabled. There are two checkboxes (have items, have knowledge) that allow you to see what the item would be. I suggest you UNcheck them. Then you can at least navigate to correct place.

After crafting the item is named with the set, e.g. sash of Death's Wind. The naming varies a bit, but there is always the set name in it. If the item is named byt the material, it is regular, e.g. Silverweed Sash (of enchant).

To get the bonuses you actually have to wear them. If you wear three items, you get 2- and 3-item bonuses. If you wear five, you get all bonuses.

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Thanks for explaining this. I've made a new cuirass for my tank and got nothing special.

I've done that too, but its a mistake I'll not make again!