Sett is a reconstituted demon, summoned by Incognito using Integra's blood. It's never explicitly stated, but it's implied that he's the Egyptian god Set. Though referred to as a Demon in the dub, in the Japanese version Integra refers to it as "Jashin Seto", or "The Wicked God Sett", implying this heavily; and Incognito later says he wields the power of an Ancient God as well, referring to Sett.
Sett appears as a streak of white light, moving through London and destroying everything in its path, and was absorbed into Incognito's body as part of his ritual. Sett also breaks the boundaries of Dark Magic, meaning he can increase the user's power to maximum allowing them to break their Dark Magic limits. Incognito used its power to fight Alucard in Alucard's Level 1 form, but it proved not to be enough and Incognito was killed. Sett's fate after that is unknown.