Sets cause a lot of confusion.

You got rid of the pocket knife,but because its in the set its asking you if you want to rebuild it.

You can  use your new fangled weapon, but you will have to make a new set, or have no sets and switch gear each time.

EDIT.

For convenience you could still have sets,but with no equipment and then add these,after changing the set.

I took it to mean.

litninrod said this:

I have finally managed to build a legendary weapon, why can I not just put it in my set.?

Answer:You have to make a new one and its costs resources to do this.

Why is it asking me to reforge something that appears in a set, which I purposefully dismantled?

Answer:Of course the  program doesnt know this,just that the pocket knife.ie poor quality inferior weapon that should be in the set, is not available, and suggests reforging it.

Abriged version.

Sets are supposed to be a convenient way of switching hero skill points and hero equipment.

If you havent got that far, making sets can be confusing, even more so when you try to swop between  them, especially if you have dismantled items that appear in the set.

Thanks for translating that for me, WDYWTNF. I took it a different way after rereading that post but you helped to clear it up.

First, let me say...If anyone thinks this (Hero sets) is a silly system that desperately needs a makeover, then I agree. It would be much more convenient if we could just change or add gear to hero sets. 

Taking that a step further... It would be the epitome of efficiency if only we could change both gear and skills in hero sets completely without using your hero as a dress-up doll. That way you could multitask while your Hero's on a march as well as make minor adjustments according to necessity since upgrades to knowledge and gear often affect the skills you prioritize. It currently costs between 4k and 6k gold every time a set needs tweaking in order to keep it up to date since they lose their purpose if they're not ready to go when you do actually need them. It's "silly" to put it nicely. 

LITNINROD- 

Any time you modify a piece of equipment in a set (including dismantling or adding/removing gems) it gives you the little boxes as an alert. IGNORE THE LITTLE ALERTS. (They are never helpful) Just activate your 'broken' hero set, and it will equip your hero with everything except the piece that you no longer have. That spot will remain blank so you may then give your hero his new toy. Once he's all gussied up looking fancy, hit the "replace"  button on the outdated hero set. 

Silly. Silly. Silly. 

Anywho... Good luck. 

A  more user friendly system for sets could help, but I cannot see them letting you update sets for free,nor adjusting the skills and equipment whilst on a march.