You mean actual sets that work together to produce more goodies? The only two sets that you can get buildings for right now is the Chess Set in the Magic Academy Crafting and the Moonstone Library Set in the Spire.
Themed buildings, I'm not sure what exactly you mean there. Each event follows a certain theme, and then some of those buildings also work well with the aesthetic of certain chapters. A good example of this is the recent Sorcerer's Pilgramage, which had a lot of buildings that seemed to follow the look of S&D chapter, or a bit of Woodelves, even.
The Orc Nests and Vallorian Valor are independent buildings, and while their artwork may seem similar to maybe Dwarves or Orcs and Goblins chapter, there is nothing you can put together to make them better. The usefulness of each can depend greatly on your city setup and what chapter you are in. I have had times when I have many of those buildings, and times where I have had none.