It is not at all surprising to not encounter any legendary or set items on the first runthrough, but it is only because they are so rare. There isn't a point where they start having a chance to drop.
I have played about 200 hours now and have found exactly 2 legendary items. I do not know if it is intentional, but to me they are actually harder to spot than normal items when they do drop, orange/gold blends a little better than white. So maybe there were others that dropped and i missed them. I couldn't tell you what dropped the first legendary item, but it was in Normal. When I saw it on the ground I was amazed that it was just lying there in orange i think it just said Gloves. anyway, the second one wasn't until Hell, and it came out of a barrel or something, not a monster or chest, and I had +113% Magic Find.
If you want a whole set, your best bet is the Auction House.
Yes they were much more common in Diablo 2.