A sleepwear set usually refer to nightgowns that come with a matching piece, sometimes a robe, sometimes a thong or g-string. Sexy nightgowns made of see-through lace or other sheer materials are often sold with a matching g-string, providing minimal coverage.
These days, when pajamas are often sold as separate tops and bottoms, the term sleepwear set may also refer to pajamas sold together as 2 pieces. The nice things about gowns with thongs or with robes is that it makes it easy to put together a stylish sleepwear ensemble.