It would be very helpful if it would be possible to create sets so you can e.g. definiton sets of functions or something like that.

There is a special type of objects, called "system". This is a linear array similar to a column vector. The visual markup is a curly left brace. They are used to supply multiple objects to functions, just like for equation solving or plotting. See section 4.7 of the german handbook (link in the signature).
The only set-like property of "systems" is the option to exclude repeated values from display via settings in the options menu.