https://youtu.be/4i9yLvxYBDQ

I think this is the easiest video tutorial on it with out real time talking it through with someone.

It's a bugger, for sure >

I am not advocating you do this in future , as its an extra step in changing the set up, but I read somewhere that a  player sets just contained the different  hero skills, and then the equipment was added after changing sets.   

Using sets appears to be more difficult than it should be.                                           Maybe they need to change things to make it easier to do.

I am not saying that it didn't happen but,

I cannot believe that you lost all your equipment.

I cannot believe that it is supposed to be possible.

 Is it a bug? If not then the game ought to warn you that this would happen.               Maybe they need to change this.

If you really lost your armour and its not supposed to happen try contacting support they might take pity on you. 

At least they would be alerted to the situation.                                                             Maybe they will change things.

In view of comments about it being a war game,and if you want an easy life go play farmsville, an interesting analysis.

Considering that many "Vikings" were farmers, I'd like to think the game is welcoming and inclusive of all types of play.