What kind of error appears when you try setting a class? Retainers start at level 1 so you can only equip level 1 gear to them at first (and will only gain exp in that class up to whatever level you happen to have in that class yourself, so if you've equipped them a class that you have never levelled they will never gain exp in it).

Are you trying to equip them a class you actually haven't yet unlocked yourself? That is the only thing I can think of that would be preventing you from setting a class on a retainer if you've unlocked the venture system and already have a class set up on another retainer. Try setting your second retainer to the same class as your first as a test and see if that now works.