Use a set comprehension

[DimitriPapadopoulos]

• Closes #xxxx
• Tests added
• User visible changes (including notable bug fixes) are documented in whats-new.rst
• New functions/methods are listed in api.rst

[max-sixty]

am fine to merge these; though unless there's an associated lint, we're unlikely to ratchet this sort of thing away — someone will write another one in the future...