Usually, you would prefer to optimize your Facebook campaigns at the ad level. To try different creatives, and see who the winner is.
Ad Sets are a group of ads and seem like an unnecessary step to create more ads, group them and find out which group is performing better.
What makes Ad Sets worth to try is that you can target them to different audiences.
Let’s say you are mgemi.com. You already have a customer base, and also you have an idea of what’s your ideal customer. You can create an Ad Set targeting people who are similar to your customers, and another Ad Set targeting people who fit your ideal customer profile within Facebook.
After running both Ad Sets, if the audience similar to your customers is generating more sales, you can allocate more budget to the Ad Set targeting them.