Same problem, its got to be a bug. Im level 30 with 58 base dexterity (more than enough for any of the set pieces) Ive tried equipping the set pieces in different order but always get "unclothed" once i reach 7 or 8 pieces. I did notice however, that my dexterity will change to a random number (regardless of set bonuses) once i equip a piece of the set.
