feat: Replace list with set

[astuyve]

What does this PR do?

We don't know what a user may bring to the event arg, as libraries ran before us (see #225) can rewrite it.
Although list responds to in, it wouldn't really let us access headers unless we knew the format of the list. But a set will, so this PR allows for a set instead, which does work with the underlying calls in extract_context_from_http_event_or_context

Motivation

Testing Guidelines

Additional Notes

Types of Changes

• Bug fix
• New feature
• Breaking change
• Misc (docs, refactoring, dependency upgrade, etc.)

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• This PR's description is comprehensive
• This PR contains breaking changes that are documented in the description
• This PR introduces new APIs or parameters that are documented and unlikely to change in the foreseeable future
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[kimi-p]

lgtm