Hello Magness,

You are attempting to assign values to the UserForm before the UserForm has been loaded into memory. The Show command loads the UserForm into memory and then displays it. The Load command will place the UserForm into memory but not display the form. This allows for the properties and variables on the sheet to be set before displaying the form.
Private Sub ModifySet_Click()

Load SetForm

SetForm.SetNum.Caption = InputBox("Please Enter Set Number", "Count Request Wizard")

If SetForm.SetNum.Caption > 0 And SetForm.SetNum.Caption <= WorksheetFunction.Max(Worksheets("SetNum").Range("B:B")) Then
    Debug.Print "Test " & SetForm.SetNum.Caption
    SetForm.Show
Else
    MsgBox ("Sorry, set number not valid.")
End If

End Sub