SET/Anti in "Special Arm 2" (Grace City)

That is probably an old/wrong info (or the wrong quest's name).

The only quests giving SETs in Grace city are "Faceless" (lv35, given by Oden) and "[Manic] Recovery" (lv40, given by Sora).

Faceless gives 1 SET, 1 Anti and some Grutin gold, and Recovery gives 3 SETs, 1 Anti and some Grutin gold.

Recovery asks you to complete the side quest "[Hard] His Status" before (lv40, given by Sora); both ask you to complete all story quests of concerned districts of course.

Apparently this quest does not exist for us. It's either a bug or done deliberately to cut down on how many SETs can be farmed per alt run.