If you're working with massive data, a memoized approach would be best:
# First create a dictionary of manually stored values
color_dict = {'Z':'red'}
# Second, build a dictionary of "other" values
color_dict_other = {x:'green' for x in df['Set'].unique() if x not in color_dict.keys()}
# Next, merge the two
color_dict.update(color_dict_other)
# Finally, map it to your column
df['color'] = df['Set'].map(color_dict)
This approach will be fastest when you have many repeated values. My general rule of thumb is to memoize when: data_size
> 10**4
& n_distinct
< data_size/4
E.x. Memoize in a case 10,000 rows with 2,500 or fewer distinct values.