You gear your champs the wrong way, like everybody does at start. To complete sets is much less important than using items with the right main- und substats. The setbonus is rather small, especially for the "normal" sets you will have at start. Later on a full Stoneskin set on a certain champ you use in arena, or a regeneration set for a champ soloing Dragon 25, may be important. In the lategame!
For now, the best thing you can do, is ignoring sets completely. Just give your champs artifacts with the right stats. If you can complete a set this way, well, that's good. If you can't use complete sets, because some of the items you would have to use to complete a set would have stats that are totally useless for the certain champ and lack important stats, then don't use complete sets.
Scyl need's to be fast, more turns = more healing. She needs def, because her damage is def based and she gets a tank that way. She needs some hp for general survivability. And she needs accuracy to land her stun. I can imagine that you don't have perfect gear (who has?), you can ignore crit rate and crit damage on her for now, otherwise you will probably have to lower her important stats. She is not a damage dealer.
Scyl: gloves (or chest) def%, chest (or gloves, the other part) hp% or def% (I personally chose hp% for mine), boots spd. Important substats: spd, def%, acc, hp%.
Peydma lands her decr. attack debuff from her A1 only, if the hit is critical. She needs 100% crit rate for sure. You may add some crit damage to increase her damage output, but crit rate is much more important. Peydma further needs accuracy to land her debuff. For survivability I would choose def over hp, as def increases her damage as well. Attack does increase the damage of her A1, but you should ignore this stat. The multiplier of def is higher than the attack-multiplier and she gets survivability from def. She does not need to be super fast. Faster than the opponents you are fighting, to land her debuff before they attack your team, but no need for Arbiter-like speed on Peydma.
Peydma: gloves crit rate (until you can achieve 100% crit rate by sub stats alone, what is probably not the case yet), Chest def%, boots spd (or maybe even def%, if you have spd substats on all items and get fast enough that way). Important substats: crit rate, crit dam, def%, spd, acc.
Coldheart needs 70% critrate (her crucial A3 skill has an inherent 30% bonus), speed to cycle through her turns more often (chance to land the A3 faster again) and as much crit dam as you can get. I personally, following a tip of the Raid-youtuber Ash, use a hp%-chest on Coldheart, to increase her survivability in the Fire Knight dungeon. If you use her mainly at Spider, you would choose atk%, in the team combination for Spider she shouldn't get attacked at all. The main part of her damage is based on enemy max hp, what gets increased by crit damage. So she doesn't need that much attack to be effectiv (others may disagree here). Coldheart has the lowest base def in the game, without hp% chest a Fire Knight 25 stage 1 or 2 enemy will one-shot her, so for me hp% works best. She further needs accuracy, tm effects like her A3 have to pass an accuracy check.
Coldheart: gloves crit damage (try to achieve 70% crit rate by substats of your other items, so you can go for crit dam gloves), chest hp% or atk%, boots spd. Important substats: crit rate, crit dam, spd, atk%.