I believe this should work:
1. I agree that set analysis is both wonderfully powerful and excruciatingly painful to figure out. I assume you at least found the help text for it? I consider it at least decent documentation and decent examples. I'm sure it could be significantly improved, particularly if they added as examples a lot of the types of things that routinely come up on the forum.
2. Well, this isn't exactly the same thing as you're asking for, but might be helpful. Create a straight table with no caption, and use your set analysis expression as the FIRST expression in the chart. The caption of the chart should now be the unevaluated expression, while the column heading will show a partially-evaluated expression where all the dollar-sign expansion has already been done. We typically use a lot of dollar sign expansion in complicated set analysis, and this often gives a quick clue as to what is going wrong. For intance, if you do it with the expression above, you should be able to see if what I wrote really IS giving you the list of states in single quotes, or if it's still not quite right.