The third option, set up, follows the rule of many adjectives where the addition of a preposition gives it a more precise meaning.

‘Sue Ridge Plumbers’ was set up a few years ago and has regular clients.

Adjective? Preposition? Nuh-unh. It's a phrasal verb:

Set up your business in less than three months with BizWhiz®, the small business setup software.

As for the tennis player, they're up a set. It's not an example of the term set up; it's just two words next to each other in a sentence. One could just as well say:

a tennis player may at some point in a match be up a set.

Other than that, I'll go along with the first two points. I have seen increasing use of the single word, unhypenated form in this and other words of this type (e.g., backup/back up) as the verb, even to the point of being past-tensed as, e.g., backuped.