The documentation for standard types says [1]:

  clear() and copy() are included for consistency with the interfaces of
  mutable containers that don’t support slicing operations (such as dict
  and set)

  New in version 3.3: clear() and copy() methods.

[1] https://docs.python.org/3.4/library/stdtypes.html#immutable-sequence-types

but collections.abc documentation mentions only clear() method.

I've uploaded a patch that implements Set.copy() method, mentions it in
Set's documentation, and adds a sanity test.