Well you did lose that set, because you picked up the set, it was counted as a picked up item, thus dissapearing from the world when you got back to the Nexus, if you hadn't touched it, you could still get it.
But don't worry, you can get the set in the same game on 1-4, after you free Biorr in 1-3 and let him be killed at the hands of the Blue Dragon on 1-4 ;) Just remember to make space for the set!.
Also, there's no worries about killing Mirana, it could screw up your PW WT in world 1 if the event wasn't on place, but with the event on place, you don't have to worry about it.
Current PC Build
CPU - i7 8700K 3.7 GHz (4.7 GHz turbo) 6 cores OC'd to 5.2 GHz with Watercooling (Hydro Series H110i) | MB - Gigabyte Z370 HD3P ATX | Gigabyte GTX 1080ti Gaming OC BLACK 11G (1657 MHz Boost Core / 11010 MHz Memory) | RAM - Corsair DIMM 32GB DDR4, 2400 MHz | PSU - Corsair CX650M (80+ Bronze) 650W | Audio - Asus Essence STX II 7.1 | Monitor - Samsung U28E590D 4K UHD, Freesync, 1 ms, 60 Hz, 28"