In my opinion, You should be allowed to hold the entire set(ice or fire) as the bonus increases by wearing the entire set. However, if you hold 2(or more) pieces of either set(ice or fire) then you cannot hold any other uniques, as the rule states.
Now, having that out of the way, you should be able to get some sort of worthwhile reward for obtaining a 'set' of unique weapons. A set would be Gorn, Kwai, Skua, and Purple of a particular weapon(eg. gold dagger of kwai, gorn, skua, and purple). By handing the set of 4 to gods, you get some sort of reward and they can then be recirculated into the game, giving them some sort of purpose, and value. This will also move them around the game as people would actually want to buy them. I have had gorn cry dagger for a while now and nobody wants to buy it, because it's worthless.
I'm going to create a topic in Brain Storm, so we can see what everyone thinks about it.