Google Analytics Custom segmentation issue

[Keeshen]

We have set up custom segmentation (A/B test) for an e-commerce site and its to test the effect of a logo has on conversion (basically the segmentation is devided into A= With logo and B = No logo ) If you are a visitor who have picked up a no logo cookie, you will not see the logo ever on revitising (until you cleared your cookies)and if you have picked up the cookie which lets you see it, you will see it on revisits. We are using __utmSetVar for this. The segmentation data is being recorded but its highly innacurate because there is a third split in Google analytics which records data as "not set". and this "not set" split holds a large number of visitors and ecommerce conversions. What is "not set" and what is causing it?