That is a question that has been asked before and am assuming the answer is much as it was then, that there isnt a specific extra bonus for it,other than the advantage of having a complete set, in some cases. The most obvious is the royal guardsman and the other newer editions of lynx and saracen.
Of course it depends on the bonuses you are lookng for, you do not get a complete set for heros experience from the same invader.
You have to wonder if its part of a trap or disguise,learning curve, that you have to shop around for sets with the best attributes.
I think it is true to say that a complete set of centurions gear is also a good set to use,though the dagger,the only item that incresases gold yielding,which I was at one time,very keen to acquire,is probably not so useful as it may once have been.