That would definitely be helpful for vintage jewelry sellers because having a several matching pieces adds to the intrinsic value to the piece. If you're hand making jewelry it's smarter to list the pieces separately and link the pages together. Although if they did add the option it would probably increase gift sales for everyone!
I usually post my items separately, then use the tag - set. So people can search within my shop using the word set to find the coordinating pieces. Or I put a link to the coordinating piece at the bottom of my listing. But that can be a lot of extra work. A set category might be kind of nice.