You can not add sets to a set because sets can only store immutable objects. These are objects whose values cannot be changed unless the object has been reassigned. Since you can add elements to sets in Python, sets are mutable and not immutable. This means that they have a changing hash value.
Being hashable means to have an id that can be used to refer to that object in cases of key:value pairs or just in memory.
If an object is immutable, it does not change its hash value. However, with sets the hash value is subject to change anytime that it is modified. Therefore, sets cannot contain sets in themselves because it only accepts immutable or unhashable objects.
Refer to this table if you need help with immutable and mutable objects and data types in Python: 