I have the same situation and unfortunately, I cannot find any explaination for this behaviour. Even if checking a time frame longer ago I see some sessions or users as (not set) for the dimension new/returning users.

The only explaination for this I can trust by now is the now given here: https://googleanalytics4.co/forums/discussion/the-mystery-of-not-set-in-ga4-new-vs-established-dimension/ ("Google Analytics was unable to determine whether the user was new or returning ... prevent Google Analytics from accurately tracking and categorizing the user").

I don't know if this is true, but it is the only information I can find on this issue and I really appreciate any further input on this.