It works in my interpreter (2.7.12).
From http://sopython.com/wiki/In_which_Python_version_was_feature_X_introduced%3F I know, that it was introduced in 2.7.
Unfortunately the online documentation is available only for 2.7.13, so I can not check in which microversion was the feature introduced.
The documentation suggests that all versions of Python 2.7 have set comprehensions as they were backported from Python 3.1.