This is an alternative to item set skills (I don't like the priest item set skills, and it seems most people don't like various item set skills of other classes).
Class Set Skills means that after acquiring 4 pieces of armor (or going through some minigame/quest like the bags quests in Heffner camp for elite skills), you gain the ability to turn one of your secondary class's primary skill into a class set skill. Once turned into a class set skill, that skill can be used by your primary class. Like the item set skills you can only have 3 skills active at one time.
Obviously the skills you change into class set skills would be slightly to tweaked. This means that If I were to set the skill
Vanish to be a class set skill (using a P/R as an example), that skill would be nerfed slightly and only last 10 seconds for my Priest.
However, that nerfing only affects Vanish when it is being used by my Priest. If I were to switch to my Rogue class, the skill Vanish would not be nerfed or changed at all.