The most common reason Lemon Curds is not set is because it has not been cooked long enough to thicken the egg yolks.  Lemon Curd needs to be cooked over medium-low heat for about 5-10 minutes until the curd reaches 170 degrees F in order for it to thicken.  The culprit might also have to do with ingredients such as not having the correct eggs to lemon juice ratio (not enough eggs), not having enough butter or the butter not being cold.