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No I still make that mistake a lot but no it's not really allowed
A set-aside ability with a specified duration returns the card(s) it set aside when the duration is reached. If it is a turn-based duration, return the card(s) set aside during your preparation phase.
It is, actually. Set-asides resolve during prep phase. You can choose to do that after things like playing cards, activating Arts, etc.
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So the characters that were set aside are returned to territory during prep-phase, but we can activate artifacts and place down characters and sites before using the ability of the set-aside enhancement?