>>>>>>>>>>>>>>
When you declared Set s=null, you made a set and assigned it a value. The fact that you made a set means that it exists.
<<<<<<<<<<<<<<

No.

When I do the above, I've declared a variable (a nest, a hook) that can be assigned a set (set can be placed in the nest, hung on a hook). I did not create any sets. Not even 0-sized sets. "null" is not a set.