The only advice I can give you is to go to the Armoury chest, and select the item you want to Convert into Materia there. You'll see the little note-page icon indicating it is part of an equipment set, if it is part of an equipment set.

To be honest, until I started answering your question, I've never even USED that Materia Assimilating General Command. I've just gone to the piece, selected it, and hit Convert on that menu.