by Thanee
It really comes down to what you want.If you often play with 3-4 players, a second set is quite useful (extra Threat counters, though dice or scrap paper also works, extra tokens, though dice or other markers also work, and more cards in general).
If you are a completionist, then you probably want the full package, just to have three copies of each card. It's just a handful of cards, though, that you need that third set for.
If you want to have many scenarios prepared ready-to-use out-of-the-box at the same time, multiple sets are quite useful for that, too.
If you are fine using a proxy (selfmade replacement, i.e. with a printout from a picture of the card) here and there, the third set doesn't really add that much.
Bye
Thanee