If they stored all gear sets on servers for this, it would just put unnecessary load on servers, since:
- Request to server when you create gear set
- Request to server when you remove gear set
- Request to server when you update gear set
- Request to server when you equip gear set
And since most of players only own one version of the game, decision to store gear sets locally is very wise one. And adding more load on servers just for comfort of really small part of player base seems like not worth it.
Anyway, did you try just to copy gear sets from PC to PS3 or vice versa? .dat file I mean.
Note: I have no clue if PS3 actually stores them same way PC does, so it's just assumption.