As with deque (SF bpo-1062279), two problems with set.__reduce__:

1. Recursive sets (which can be constructed with the aid
   of a hashable mutable object) aren't pickled correctly
   because __reduce__ wants a reference to itself in the
   call to its constructor. Fix by moving the keys to the
   state argument and resurrecting them in __setstate__
   (test_pickling_recursive).

2. Without the standard reduce, we have to take care of
   the instance dictionary ourselves. The test for this is
   in a new TestSubclassOps class that is mixed in to
   TestSetSubclass and TestFrozenSetSubclass. I'm not sure
   if such a mixin is the best way to distribute that test.

The biggest drawback to this patch is that __setstate__
makes it possible to mutate a frozenset. This implementation
clears the cached hash after such a mutation, but even then
it can be used to cause havoc in dicts. Such havoc isn't
fatal (this doesn't do anything that a regular class can't
do), but it can be confusing. Not being able to do this was
a desirable property of frozenset, but it's unlikely to
happen on accident, and sets.ImmutableSet has surived
without it. Unless one of the pickle gurus provides a better
alternative to SF bpo-1062277, this might be the best option.

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Am adding the dict argument so that subclass dictionaries
are handled without extra coding. See Objects/setobject.c 1.31

Sets were designed to be non-recursive. While you can
create shennanigans to introduce hashable mutable objects to
be stored recursively, I have no interest in building
support for them. Certainly, it is not worth introducing
other anomalies or worth compilcating the code.

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Fair enough. If sets weren't meant to be recursive then 1. 31 is sufficient.