gereanlly speaking, no. speed is important in that it's the only stat that you can't ever ignore when building a champion, but that doesn't mean it's the most important stat for every individual champion. it can make sense on a champion that's built specifically for arena because the champions you'll face there will be much faster than in any pve areas but even then it's really more of a build for a champion like arbiter or high khatun whose entire job is to be the fastest champion on the battlefield.

even beyond that though, you shouldn't be overly concerned with what sets you're using. getting the set bonuses is nice, but it's far more important that you build your champs using gear with the best stats for the champion in question. if you can do that and still get a set bonus, great, but otherwise just use the best individual pieces you have available and rebuild them later when you have a better selection of gear available to you.

to answer your other question, skins are purely cosmetic.

hello,
speed is the most important thing in the game and especially in the arena.
concerning the skins actually it's for the look and no more 

Hello there, welcome to the forum.

Speed is one of the very best sets in the game. How much speed (the stat itself) you're going to want - or need - versus other stats will change depending on what your champions role is (Damage, debuffer, healer/reviver, speed booster or a combination of roles) but overall speed is king in this game. The more turns our champions are taking, the more often they can use their skills. 

Skins are only for looks, they provide no difference in skills or abilities. 

Let  me  clarify,  because  you  specificly  asked  about  sets  that  are  available.    If  you  are  thinking  about  purchasing  a  set  (speed  or  otherwise), it  will  seldom  give  you  a  good  value.    In  general,  you  will  typically  have  to  farm  perhaps  100  pieces  of  gear  to  get  even  one  that  rolls  well.   

Thanks to all for the advice!!!!  

Feel free to drop by if you have any other questions and good luck in the meantime. :)