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I don't think I understand your question: in what way don't sets work when defining a simplicial complex? I tried the following in Sage 5.11, Sage 5.6, and in the most recent beta release, and it worked in all of them:

sage: S =  Set([Set([1,2]),Set([2,3])])
sage: SimplicialComplex(S)
Simplicial complex with vertex set (1, 2, 3) and facets {(1, 2), (2, 3)}

sage: S = [{1,2}, {2,3}]
sage: SimplicialComplex(S)
Simplicial complex with vertex set (1, 2, 3) and facets {(1, 2), (2, 3)}

sage: S = Subsets({1,2,3}, 2)
sage: SimplicialComplex(S)
Simplicial complex with vertex set (1, 2, 3) and facets {(1, 3), (1, 2), (2, 3)}

In the documentation that you cited, it says

maximal_faces should be a list or tuple or set (indeed, anything which may be converted to a set) whose elements are lists (or tuples, etc.) of vertices.

So sets should be allowed, and they seem to work.