There was a huge discussion about Set Asides awhile ago on the board, and many of the questions that kept coming up (like the ones you asked) were answered by SirNobody and his knowledge of the upcoming REG. I can't quite remember what the topic was, but it was within the past two months I'm pretty sure.
From what I remember, the REG says that the set aside card follows its target, but that was written when only enhancements could set things aside. For obvious reasons, the Shame LS doesn't work that way, and he REG will be changed to reflect that, so only set-aside enhancements (of any alignment will be set-aside. Thus the Shame LS, Haman, etc. don't set themselves aside.
As far as to whose territory they go, I think Tim and The Schaef had a big argument on what would make more sense: the owner of the character's SA area, or the owner of the SA card's area. I don't remember the conclusion though.