Hello Chris OConnor,
Thank you for contacting Microsoft Support.
It appears you are experiencing a known issue with the Graph API when creating DocumentSets. The procedure you've undertaken serves as a workaround; however, the missing of the DocumentId is certainly an issue.
Currently Microsoft Graph API for SharePoint doesn't have support for Document sets.
You can start with requesting for feature in graph feedback portal, based on the number of people requesting for this feature and votes Microsoft Engineering team will consider for implementation.
Hope this helps.
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