BUG: Don't multiply sets during construction
- [x] closes #32582
- [x] tests added / passed
- [x] passes `black pandas`
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [x] whatsnew entry

Hmm how is this type of construction actually useful? If anything this should probably just raise > Hmm how is this type of construction actually useful? If anything this should probably just raise

Yeah, I could see that too. Looks like it does raise in the `Series` case so makes sense it would here too (or could treat sets as singletons, although that seems even less useful?) If Series raises then I think that is even more motivation to raise here; this seems more likely to be a programmer error than intent thanks @dsaxton 