The hard thing about the GMAT is that there are lots of different types of problems. I don't really think that any one type of problem is more important than any other, as a lot of these "special" problem types (sets, work problems, interest rates, etc.) are common, but not guaranteed.

So, long story short - is there a good chance you'll see a set problem? Yes. Is it a terribly important topic because you'll definitely see it, or see more than one? Probably not. If you're struggling with foundational stuff such as mental math and algebra, definitely work on that stuff first; it's not worth spending tons of time on a topic you might see once, at the expense of more foundational skills that you'll need on every problem.