I don’t see Set Variable as an option to select (Rule Machine, NOT Legacy):
Make sure you actually have one or more variables defined - either local or Hub. The RM UI won't give you options you can't use.
My variables were all within Rule Machine Legacy, and my rule above was from the current Rule Machine. I didn’t realize until your reply that I have to recreate my variables in the current Rule Machine.
If they were global variables, you actually want to use Hub Variables as the analagous replacement (they are no longer limited to use in just Rule Machine, even without connectors, and to that end are configured in Settings instead of Rule Machine).
Local variables work similar to how they did before (though I assume those aren't what you're talking about since, by definition, you'd have to create those in the rule itself, including any time you create a new rule, which you likely are already aware of).