Youtellatale52, Set Dungeons are only accessible if you have the corresponding 6 piece Set bonus equipped. What Cyberdoc is referring to is a PC only method to get a single 6 piece set by playing a Seasonal character, which is not available on consoles.
Being a loot drop based game, the way to get a 6 piece Set bonus is to simply farm them the old fashioned way by killing monsters. Most of the Set Items only drop once you are Level 70 (with the exception of certain Legacy Diablo 3 sets which are available at Level 60+), and I believe the Set Items do not drop at all unless you play in Torment I difficulty or higher (you could gamble Blood shards at Kadala otherwise at lower difficulties I guess).
Just to add to what Cyberdoc has already mentioned regarding the Moratorium gem, I believe this to be caused by the fact that a Green Portal which leave the Set Dungeon instance appears as soon as you take fatal damage, so if you enter this portal it takes you back to the 'Normal game' where Hardcore death rules apply normally but Moratorium still has damage 'staggered' which it will still deal to you over time and kill you, since your HP will still be close to 0 when you use the Green Portal and re-enter the normal game world. I'll update my Set Dungeon guide with this as well.