A couple things I am certain of:
-You cannot play set-aside enhancements on Heroes in KR. You can't play an enhancement on a character not in play, except for Healing enhancements (and only if the Hero was in play and has been discarded earlier that turn), where that is spelled out very clearly.
-You can set aside a Hero from hand or territory into KR. Just like any other Fortress with a Hold ability.
What I am unsure of:
-What the phrase "Set-aside enhancements work in this Fortress" means in today's language. If it means (as I have always seen it played) "Holds a Hero that is set-aside" then you can move a Hero from your set-aside area to the Fortress to protect it. The thing that would make me question that is the fact that Heroes are sometimes set aside by Characters (Haman, High Priest's Maid, Ram with Two Horns) or Lost Souls (Shame LS), and KR specifies enhancements. So it could also mean "Holds a Hero that is set-aside by an enhancement." However, I'm not sure if that distinction is either necessary or intuitive.
-I would also suggest that KR doesn't let you bring Heroes back early. Set-aside is an instant ability, and while the effect is ongoing in a sense, the set-aside ability isn't really affecting the Hero such that the Protect would stop it. The Holds ability being able to bring back the Hero is a compelling argument (and I would be just fine if it was not the way I assume it is) but I would say you can't override the set-aside ability with another ability that doesn't directly allow you to return a Hero.
