BUG: sets in str.cat
- [x] closes #23009
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

This is split off from #23065.
Hello @h-vetinari! Thanks for submitting the PR.

 - There are no PEP8 issues in the file [`pandas/core/strings.py`](https://github.com/h-vetinari/pandas/blob/6f32d435c3335aba360080f6adb19e2426eee435/pandas/core/strings.py) !

 - There are no PEP8 issues in the file [`pandas/tests/test_strings.py`](https://github.com/h-vetinari/pandas/blob/6f32d435c3335aba360080f6adb19e2426eee435/pandas/tests/test_strings.py) !

 # [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/23187?src=pr&el=h1) Report
> :exclamation: No coverage uploaded for pull request base (`master@4cac923`). [Click here to learn what that means](https://docs.codecov.io/docs/error-reference#section-missing-base-commit).
> The diff coverage is `100%`.

[![Impacted file tree graph](https://codecov.io/gh/pandas-dev/pandas/pull/23187/graphs/tree.svg?width=650&token=eZ4WkYLtcO&height=150&src=pr)](https://codecov.io/gh/pandas-dev/pandas/pull/23187?src=pr&el=tree)

```diff
@@            Coverage Diff            @@
##             master   #23187   +/-   ##
=========================================
  Coverage          ?   92.19%           
=========================================
  Files             ?      169           
  Lines             ?    50956           
  Branches          ?        0           
=========================================
  Hits              ?    46978           
  Misses            ?     3978           
  Partials          ?        0
```

| Flag | Coverage Δ | |
|---|---|---|
| #multiple | `90.61% <100%> (?)` | |
| #single | `42.27% <0%> (?)` | |

| [Impacted Files](https://codecov.io/gh/pandas-dev/pandas/pull/23187?src=pr&el=tree) | Coverage Δ | |
|---|---|---|
| [pandas/core/strings.py](https://codecov.io/gh/pandas-dev/pandas/pull/23187/diff?src=pr&el=tree#diff-cGFuZGFzL2NvcmUvc3RyaW5ncy5weQ==) | `98.58% <100%> (ø)` | |

------

[Continue to review full report at Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/23187?src=pr&el=continue).
> **Legend** - [Click here to learn more](https://docs.codecov.io/docs/codecov-delta)
> `Δ = absolute <relative> (impact)`, `ø = not affected`, `? = missing data`
> Powered by [Codecov](https://codecov.io/gh/pandas-dev/pandas/pull/23187?src=pr&el=footer). Last update [4cac923...deb912e](https://codecov.io/gh/pandas-dev/pandas/pull/23187?src=pr&el=lastupdated). Read the [comment docs](https://docs.codecov.io/docs/pull-request-comments).
 @jreback 
Tiny follow-up to / split-off from #23065, all green and ready for review thanks!