For a new player, you'll want to stick with regular armor sets. Once you become more acquainted with the armor skill mechanic, you can start branching out into mixed sets.
However, mixed sets are by no means required. Regular sets typically have a theme to their armor skills, so just going with a regular set is more than fine if you can utilize it. Mixed sets simply give you more control over what armor skills to put together, allowing you to craft a set that fits your particular style.
This is how the armor skill mechanic works: if you look on page 4 of your armor info, you'll see some names with positive and negative numbers. These are skill points. To acquire an armor skill, you total up all the pluses and minuses for a particular skill on all of your equipment. If that total reaches a certain threshold (10), you gain that armor skill. Having points below the threshold does not benefit you at all.
Now, most armor skills also come with a penalty skill. If you accumulate enough negative points in a skill (-10), you'll gain a penalty skill. Most regular sets also come with one penalty skill. For example, your Rathalos set has Recovery Down. These penalty skills are usually bad for you and you'll typically want to get rid of them by inserting gems into your gear. In your case, Recovery Down decreases the effectiveness of healing items like Potions and Herbal Medicine.
Also, note that many armor skills and their respective penalty skills have tiers. If you go over the first threshold and reach another, you'll gain an increased effect from your armor/penalty skill. For example, +10 in Attack will get you Attack Up (S) with a small boost in damage, but +25 in Attack will award you with Attack Up (XL) with a very large boost in damage.