(Apologies if this is a dupe, a brief search didn’t locate any previous posts.)
Might be a bug with the CoF rank 4 bonus, but currently 100% of the time if a set item drops, I get the entire set. Doesn’t seem to matter which set, or if one of the items would normally not be available to drop at the current difficulty.
Example, I got both Lich’s Skull and Lich’s Envy the first time I completed Soulfire Bastion, on Tier 1. According to the maxroll item database the gloves should only start to drop in Tier 2 or higher.