I'm assuming it's more of a technical issue to cut down on the amount of information that needs to be stored on the server for each player. By requiring you to need all items in a set, it's a simple matter of storing on the server the ID of the completed set if you have it, instead of several item IDs of what pieces you have.

Personally I wish they would just go WoW route of just saving the appearance of any item you picked up. That way they're only saving a bunch of booleans on the server instead of 800 item or set IDs per player.