Use set literal syntax for set prettyprinting
pls add a test in `tests/test_format.py` in `test_pprint`
 pls add a whatsnew note in 0.17.1 as well
 can you add a whatsnew note (api changes section)
 done
 can you add a test as well

`tests/test_format.py` in `test_pprint`
 done
 awesome. ping when green.
 ping!
 merged via https://github.com/pydata/pandas/commit/76d4c49a10b2606458d2622a05bb14aea578e9a5

thanks!
