[DanCooper]

If a movie is in a set or not is an information from TMDB. To get this information while movie scraping you have to enable Collection ID in settings:

Settings => Movies => Scraper-Data => Global Fields => Collection ID: gets the collection ID and movieset title (and movieset plot in latest Github builds)
Settings => Movies => Scraper-Data => Global Fields => Collection => Add movie automatically to Collections: creates or add a movie to a movieset if a collection ID has been scraped
Also you have to enable the TMDB scraper with Collection ID enabled.

For movies they has been scraped before they has been added to a collection on TMDB you have to rescrape the Collection ID only for this movie or manually add the movie in the Edit MovieSet dialog (double click on a movieset).

If the movieset info panel says "no information" then there is no data or image scraped for this movieset. That means you first have to scrape the movieset (not movie). Movieset images can only be scraped if you've set an movieset artwork path in Settings => MovieSet => Files and Sources => File Naming.