I didn't mean to imply that lacking a sorted set datatype wasn't a pain in the ass; I was pointing out that the lack of multiple set implementations is a tradeoff that we make for all built-in datatypes that could support other operations but don't. (Personally, I would love to have the ability to pick a random element from a set. That would be great.)
By the way, in case anybody was wondering, here is a (relatively inefficient) way of making a sorted set in python: