#Pyth, 58
Pyth, 58
L}bPb|*"Empty Set"}Qj204568T.f&yZ.Amyi++<JjZTdQ>JdThl`Z100
This test suite only calculates the first 10 numbers because it takes far too long to generate the rest. Brute forces both primality and the inserting of the digits. Demonstrates such bad performance that I haven't been able to run it up to 100, so please tell me if there are problems.