MC Shudde M'ell
Personally I like to maximize the element of surprise, so I put all four sets in the deck. Then when I finally pull draw an encounter card from one of the sets that becomes "the" set for that play through. From that point any encounter cards (be they treachery or enemy) drawn from the other sets are immediately discarded and I draw another card.
I don't understand why that would be more surprising than leaving the other three sets facedown with your other unused cards.