When the + operator has operands of set type then it performs set union (i.e. the result of the operation is a set with all the members from both operands).
['a', 'e'] + ['a', 'c', 'z'] results in ['a', 'c', 'e', 'z']
To see this try the example program below:
program setu(output); type letter = 'a'..'z'; var s : set of letter; c : letter; begin s := ['a', 'e'] + ['a', 'c', 'z']; for c := 'a' to 'z' do if c in s then writeln(c) end.