Get link option (in right click menu) is available to only document, folder & workareas. It does not work for flat sets and the option is currently greyed out for sets. Having the option to share links (as can be done with URN links) to sets would be useful.
Do it
It is much-needed functionality which would significantly improve work of PW Explorer users.
Apologies, scratch my last comment, it only takes you to the folder.
Incidentally, this functionality is available through a connected project. Just tested.