This is because you are working with URLs with UTMs. The system places (not set) when it has, for example, in the URL, utm_source with a value, but the utm_medium is not part of the URL.
An example of «not set» in the Top Mediums report would be:
domain.com/?utm_source=google&utm_campaign=sincookies&utm_term=kw1
As you can see, the medium is not among the parameters, so the system will assign the value to each UTM, but in Medium, it won’t be set, because it doesn’t exist in the URL.
