Maybe Guido doesn't like it because it looks weird when compared to the rest of Python's syntax? Still, I think it's cool. Having sets availably without importing anything is one of the things I love about Python.
I think that's better than using the same brace-type for sets and dicts anyway, and it can't be as confusing as () == tuple(), (x) == x, (x,) == tuple([x]).
set = <> looks like the other empty container literals, but it's not consistent with the literal notation for sets with one or more elements: my_set = {1,2,3}.
set = <> is still available.