Hello, been following most of the threads for a year now, I just registered so I could answer to the following, since I faced the same problem and no clear explanation existed.

So if you, like I, after typing ./set get the permission denied try to chmod +x set and run ./set again.

PS if you'd also like to manually edit the config to point to metasploit because the OP's file is 0bytes ;p you can

cd /home/opt/set/config
vi set_config

use the arrows to find the line where it points to metasploit (you can't miss it)

type i to enter insert mode

edit the location (if you followed OP's guide on metasploit then it's /home/opt/msf)

hit the ESC button on screen to exit insert mode
type :wq to write/save and quit vi editor.

PS. since I can now post a huge thanks for all your hard work!!1