Sets at the assembly level simply cannot access part level entities like wire, faces, etc.  They can only address entire parts.
But as of Cimatron version 12 there is some help for this issue.
Not a set, but a method of selecting.
Note the icon to the right of Hide and Show called Entities/Components Visibility.

You will see this in assembly, and it provides a hide/show option.
When this option is OFF (default) picking a line in a part will hide the whole part.  But with you toggle this ON, you can actually hide and show part level
entities - while the assembly is active!
The specific steps are:

1).  Select Entities/Components Visibility
2).  Press on the hide icon
3).  Set the filter to only wireframe and box pick the screen.

All wire will hide.  You can do the opposite for showing the wire back.  Use show, then make sure you are only filtering for curves.