There is a possible workaround. I have tested it and it works:

On the following site: http://foldertodocsetfix.codeplex.com/ you can find a solution named: FolderToDocSetConversionHandler.wsp

Implement this solution in your SharePoint site. This is a sandboxed solution so it can be used on your locale farm and in the cloud.

Now follow these steps when creating a document set in harmon.ie:

1. Create a FOLDER, give it the name the document set should have
2. Change the type in the properties windows of harmon.ie to DOCUMENT SET (to get the properties window right click folder and choose properties)
3. Fill in the document set properties

Because we first created a folder and then changed it to document set the implemented solution does the work to update the folder to a document set with the document set icon and the document set welcome page.

Now use harmon.ie to add mail and attachments to the document set as usual.

Hope this helps!

Yes, it is a known limitation: http://harmon.ie/harmonie-sharepoint-doc/sp2010

When you create a document set via harmon.ie you won't get the document set icon and home page as in the web UI. However, it has the standard document set actions in the context menu.
BTW, MS has the same bug when you create a folder in SharePoint and then change the content type to be a document set.