You need to convince XBMC to refresh each movie that you have changed to be part of a set. There are a couple of ways to do that...
On each movie that is now part of a set, choose movie information & then refresh OR
Move all the 'set' movies & nfo's, to a different folder that XBMC can't see, clean the library (under settings/videos), move them back & then update library OR
Delete the video cache file directly from XBMC via FTP & then recreate the library....(last resort!)