Hi Max,
Media Sets act as a purely logical entity allowing you to organize your tapes in a way which is convenient for you. Sorry to just dump an FAQ link, but we recently updated our
Tape FAQ (ctrl+f 'Media Sets') to include some expanded explanations on media sets as it can seem daunting, but the concept is purely based on your organizational preferences.
Basically, there is no practical impact on the actual backup process except that a new media set must start with an empty tape; if you're shipping your tapes off-site for example, you might want to always ship a set of tapes per week, and you can organize them by media set to make it more simple to know which tapes belong to which week.
If you would, check out that section and the link for a more elaborate explanation, and let us know if that helps clear it up.