Here are some screenshots from what I have in game. Note that the rewards for completion can be viewed in the achievements in game (you can bring up achievements by pushing the "y" button on your keyboard, not sure how to do on console). Just go to the SET DUNGEON tab and click each achievement to see the rewards. I'll just post a few examples to avoid creating a mile long scroll bar.
Completing all set dungeons for every class (by completing, I mean killing all enemies in time) with 1 objective complete will unlock the "Wings of the Dedicated" and Mastering all set dungeons for each class will unlock the "Wings of Mastery".
The wings are in the photo below on the top middle (green wispy looking wings), and very bottom left (green dragon looking wings for mastery):
Finally, completing all set dungeons with one primary object completed will give a pennant for that class and mastering all set dungeons for an individual class will unlock a class ascendant pennant for that class. Below I have the screen shot for the Wizard pennant, with Wizard Ascendant pennant located to the left of the one selected (it's a green pennant).
So in summary (and all of this can be verified by looking at the in game achievements page):
- Completing an objective and killing all the enemies in time for every set dungeon across ALL classes will grant you the "Wings of the Dedicated".
- Mastering All set dungeons for ALL classes will grant you the "Wings of Mastery".
- Completing an objective for ALL set dungeons for a class will grant you a pennant for that class
- Mastering ALL set dungeons for a class will grant you the Class Ascendant pennant for that class
- Didn't feel the need to mention it above, but you can also earn a different Banner Sigil for each set dungeon you complete with an objective completed.
Hope this helps, there are a lot of rewards available for doing these. Good luck!