John, the SET KEY does work on the active index and is therefore very legitimate. The nice thing of it, is that a GO TOP and GO BOTTOM doesn't read any records outsite this "filter", whereas the Set Filter does (just skips the records which don't match). One can perform the most beautiful searches because it acts as Exact Off. I mean, any Set Filter to a leftmost part of a key works fine.
Don't forget the following : Suppose you have an index on a field CompanyId and CustomerId, and you want all the records of the company ABC; When your SET KEY is generic and uses the RANGE, the SET KEY must now superimpose to ABC RANGE ABCz. I mean, setting it to ABC RANGE ABC doesn't work (the Help gets me dizzy).

Regards,