After reading the other answers, I still had trouble understanding why the set comes out un-ordered.
Mentioned this to my partner and he came up with this metaphor: take marbles. You put them in a tube a tad wider than marble width : you have a list. A set, however, is a bag. Even though you feed the marbles one-by-one into the bag; when you pour them from a bag back into the tube, they will not be in the same order (because they got all mixed up in a bag).